Variational Inference for Intractable and Misspecified State Space Models. State space models (SSMs) are popularly used to model economic variables such as inflation and financial volatility. Variatio

Description

Variational Inference for Intractable and Misspecified State Space Models. State space models (SSMs) are popularly used to model economic variables such as inflation and financial volatility. Variational inference is a technique that allows for fast implementation of SSMs, but whose properties are yet to be understood. This project aims to study the properties of variational inference for SSMs used in economics. This research will develop new variational inference techniques to improve inferential and predictive accuracy from SSMs. An expected implication of this project is that it will expand the ability of economic institutions to employ larger SSMs, which will allow for more accurate models for economic variables. This will provide significant social benefits by leading to better informed economic policy. . Scheme: Discovery Early Career Researcher Award. Field: 3802 - Econometrics. Lead: A/Prof Ruben Loaiza-Maya