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Parallel MCMC sampling of AR-HMMs for stochastic time series prediction.

Written by I. R. Sipos ([email protected]) and A. Ceffer ([email protected]) (Department of Networked Systems and Services, Budapest University of Technology and Economics, Budapest, Hungary, 2016.)

Intended for academic purposes on an as is basis. Any feedback is appreciated. Please refer to:

(1) SIPOS, I. Róbert. Parallel stratified MCMC sampling of AR-HMMs for stochastic time series prediction. In: Proceedings, 4th Stochastic Modeling Techniques and Data Analysis (SMTDA2016). Valletta, 2016.

(2) SIPOS, I. Róbert; CEFFER, Attila; LEVENDOVSZKY, János. Parallel optimization of sparse portfolios with AR-HMMs. Computational Economics, Online First. DOI: 10.1007/s10614-016-9579-y

An nVidia compute capability 2.0 or higher device is required to enable the GPU.