Stochastic gradient variational Bayes and normalizing flows for estimating macroeconomic models
Книги

Stochastic gradient variational Bayes and normalizing flows for estimating macroeconomic models

Книги

Stochastic gradient variational Bayes and normalizing flows for estimating macroeconomic models

Khabibullin, R. Stochastic gradient variational Bayes and normalizing flows for estimating macroeconomic models / R. Khabibullin, S. Seleznev; The Central Bank of Russian Federation. — Moscow : Bank of Russia, 2020. — 49 p.: il.. — (Working paper series; 61, september). — References: p. 18-21.

Аннотация

We illustrate the ability of the stochastic gradient variational Bayes algorithm, which is a very popular machine learning tool, to work with macrodata and macromodels. Choosing two approximations (mean-field and normalizing flows), we test properties of algorithms for a set of models and show that these models can be estimated fast despite the presence of estimated hyperparameters. Finally, we discuss the difficulties and possible directions of further research.
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    330.4

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