@inbook{748733928b2749ca97501b1d524f1378,
title = "Expectation Propagation for the Smoothing Distribution in Dynamic Probit",
abstract = "The smoothing distribution of dynamic probit models with Gaussian state dynamics was recently proved to belong to the unified skew-normal family. Although this is computationally tractable in small-to-moderate settings, it may become computationally impractical in higher dimensions. In this work, adapting a recent more general class of expectation propagation (EP) algorithms, we derive an efficient EP routine to perform inference for such a distribution. We show that the proposed approximation leads to accuracy gains over available approximate algorithms in a financial illustration.",
keywords = "Dynamic probit model, Expectation propagation, Smoothing, State-space model, Unified skew-normal distribution, Dynamic probit model, Expectation propagation, Smoothing, State-space model, Unified skew-normal distribution",
author = "Niccol{\'o} Anceschi and Augusto Fasano and Giovanni Rebaudo",
year = "2023",
doi = "10.1007/978-3-031-42413-7_10",
language = "English",
isbn = "978-3-031-42412-0",
series = "SPRINGER PROCEEDINGS IN MATHEMATICS & STATISTICS",
pages = "105--115",
booktitle = "Bayesian Statistics, New Generations New Approaches",
}