GPU-Accelerated Bayesian Learning and Forecasting in Simultaneous Graphical Dynamic Linear Models

Bayesian Analysis

Lutz Gruber¹ 

关键词: decoupling models;    high-dimensional time series;    importance sampling;    parallel computing;    recoupling models;    variational Bayes;   

DOI  :  10.1214/15-BA946

学科分类：统计和概率

来源: Institute of Mathematical Statistics

【 摘 要 】

We discuss Bayesian analysis of dynamic models customized to learning and prediction with increasingly high-dimensional time series. A new framework of simultaneous graphical dynamic models allows the decoupling of analyses into those of a parallel set of

【 授权许可】

Others