연구정보
[경제] Stochastic Gradient Variational Bayes and Normalizing Flows for Estimating Macroeconomic Models
러시아 국외연구자료 연구보고서 - Bank of Russia 발간일 : 2020-09-05 등록일 : 2020-09-25 원문링크
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.
본 페이지에 등재된 자료는 운영기관(KIEP) 및 EMERiCs의 공식적인 입장을 대변하고 있지 않습니다.
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