Out-of-core minibatch ADVI on a financial tick stream

examples/references.bib

@@ -1,3 +1,13 @@
+@article{andersen1997intraday,
+  author        = {Andersen, Torben G. and Bollerslev, Tim},
+  doi           = {10.1016/s0927-5398(97)00004-2},
+  journal       = {Journal of Empirical Finance},
+  number        = {2-3},
+  pages         = {115--158},
+  title         = {Intraday periodicity and volatility persistence in financial markets},
+  volume        = {4},
+  year          = {1997}
+}
 @article{ando2007bayesian,
   title         = {Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models},
   author        = {Ando, Tomohiro},
@@ -94,6 +104,16 @@ @misc{betancourt2018
   primaryclass  = {stat.ME},
   url           = {https://arxiv.org/abs/1701.02434}
 }
+@article{bollerslev1987conditionally,
+  author        = {Bollerslev, Tim},
+  doi           = {10.2307/1925546},
+  journal       = {The Review of Economics and Statistics},
+  number        = {3},
+  pages         = {542--547},
+  title         = {A conditionally heteroskedastic time series model for speculative prices and rates of return},
+  volume        = {69},
+  year          = {1987}
+}
 @article{bonilla2007multioutput,
   title         = {Multi-task Gaussian process prediction},
   author        = {Bonilla, Edwin V and Chai, Kian and Williams, Christopher},
@@ -269,6 +289,16 @@ @book{enders2022
   year          = {2022},
   publisher     = {The Guilford Press}
 }
+@article{engle1998autoregressive,
+  author        = {Engle, Robert F. and Russell, Jeffrey R.},
+  doi           = {10.2307/2999632},
+  journal       = {Econometrica},
+  number        = {5},
+  pages         = {1127--1162},
+  title         = {Autoregressive conditional duration: a new model for irregularly spaced transaction data},
+  volume        = {66},
+  year          = {1998}
+}
 @article{evans2006checking,
   title         = {Checking for prior-data conflict},
   author        = {Evans, Michael and Moshonov, Hadas},
@@ -303,7 +333,8 @@ @book{gelman2006data
   title         = {Data analysis using regression and multilevel/hierarchical models},
   author        = {Gelman, Andrew and Hill, Jennifer},
   year          = {2006},
-  publisher     = {Cambridge university press}
+  publisher     = {Cambridge University Press},
+  doi           = {10.1017/CBO9780511790942}
 }
 @article{gelman2006multilevel,
   title         = {Multilevel (hierarchical) modeling: what it can and cannot do},
@@ -417,6 +448,15 @@ @article{higgins2009meta
   year          = {2009},
   doi           = {10.1111/j.1467-985X.2008.00552.x}
 }
+@article{hoffman2013stochastic,
+  title         = {Stochastic Variational Inference},
+  author        = {Hoffman, Matthew D. and Blei, David M. and Wang, Chong and Paisley, John},
+  year          = {2013},
+  journal       = {Journal of Machine Learning Research},
+  volume        = {14},
+  pages         = {1303--1347},
+  url           = {https://jmlr.org/papers/v14/hoffman13a.html}
+}
 @article{hoffman2014nuts,
   title         = {The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo},
   author        = {Hoffman, Matthew and Gelman, Andrew},
@@ -821,6 +861,16 @@ @unpublished{padonou2015polar
   month         = Feb,
   pdf           = {https://hal.archives-ouvertes.fr/hal-01119942v1/file/PolarGP_CircularDomains.pdf}
 }
+@article{page1954continuous,
+  author        = {Page, E. S.},
+  doi           = {10.1093/biomet/41.1-2.100},
+  journal       = {Biometrika},
+  number        = {1-2},
+  pages         = {100--115},
+  title         = {Continuous inspection schemes},
+  volume        = {41},
+  year          = {1954}
+}
 @book{pearl1985prob,
   title         = {Probabilistic Reasoning in Intelligent Systems: Networks of plausible Inference},
   author        = {Pearl, Judea},
@@ -871,6 +921,16 @@ @article{penrose1985
   year          = {1985},
   pages         = {189}
 }
+@article{polyak1992acceleration,
+  title         = {Acceleration of Stochastic Approximation by Averaging},
+  author        = {Polyak, Boris T. and Juditsky, Anatoli B.},
+  journal       = {SIAM Journal on Control and Optimization},
+  volume        = {30},
+  number        = {4},
+  pages         = {838--855},
+  year          = {1992},
+  doi           = {10.1137/0330046}
+}
 @misc{quiroga2022bart,
   title         = {Bayesian additive regression trees for probabilistic programming},
   author        = {Quiroga, Miriana and Garay, Pablo G and Alonso, Juan M. and Loyola, Juan Martin and Martin, Osvaldo A},
@@ -921,6 +981,16 @@ @online{rochford2018
   author        = {Austin Rochford},
   url           = {https://austinrochford.com/posts/2018-11-10-monotonic-predictors.html}
 }
+@article{roll1984simple,
+  author        = {Roll, Richard},
+  doi           = {10.1111/j.1540-6261.1984.tb03897.x},
+  journal       = {The Journal of Finance},
+  number        = {4},
+  pages         = {1127--1139},
+  title         = {A simple implicit measure of the effective bid-ask spread in an efficient market},
+  volume        = {39},
+  year          = {1984}
+}
 @book{rosenbaum2002observational,
   title         = {Observational Studies},
   author        = {Rosenbaum, Paul R.},