High-dimensional conditionally Gaussian state space models with missing data
Joshua C. C. Chan, Aubrey Poon, Dan Zhu
Topics & Concepts
Missing dataGaussianConditional probability distributionBayesian probabilityCovarianceFactor analysisComputer scienceStochastic volatilityLatent variableMathematicsAlgorithmCovariance matrixEconometricsData miningStatisticsVolatility (finance)Quantum mechanicsPhysicsBayesian Modeling and Causal InferenceMonetary Policy and Economic ImpactFinancial Risk and Volatility Modeling