STATE SPACE MODEL WITH BAYESIAN INFERENCE
ORNSTEIN UHLENBECK model using VI to estimate time-varying mu, kappa, sigma coupled to latent vol/agg states. Automates normalization, posterior forecasting, and rolling HDI/skew diagnostics.
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PROBABILISTIC ALGORITHMS / ANOMALY DETECTION / FINANCIAL ENGINEERING
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ORNSTEIN UHLENBECK model using VI to estimate time-varying mu, kappa, sigma coupled to latent vol/agg states. Automates normalization, posterior forecasting, and rolling HDI/skew diagnostics.
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