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variational-bayes

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bayesian-sgdlm is a Python script for fully Bayesian SGDLMs, treating each node as a VAR( 𝑝) DLM. It leverages decouple–recouple filtering with Variational Bayes and importance sampling to estimate sparse, time-varying cross-lag dependencies (including pandemic dummies) without ever inverting the full multivariate system.

  • Updated Aug 10, 2026
  • Python

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