{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/scalable-bayesian-dynamic-covariance-modeling","title":"Scalable Bayesian dynamic covariance modeling with variational Wishart and inverse Wishart processes","arxiv_id":"1906.09360","date":"2019-06-22","proceeding":"NeurIPS 2019 12","authors":["Creighton Heaukulani","Mark van der Wilk"],"abstract":"We implement gradient-based variational inference routines for Wishart and inverse Wishart processes, which we apply as Bayesian models for the dynamic, heteroskedastic covariance matrix of a multivariate time series. The Wishart and inverse Wishart processes are constructed from i.i.d. Gaussian processes, existing variational inference algorithms for which form the basis of our approach. These methods are easy to implement as a black-box and scale favorably with the length of the time series, however, they fail in the case of the Wishart process, an issue we resolve with a simple modification into an additive white noise parameterization of the model. This modification is also key to implementing a factored variant of the construction, allowing inference to additionally scale to high-dimensional covariance matrices. Through experimentation, we demonstrate that some (but not all) model variants outperform multivariate GARCH when forecasting the covariances of returns on financial instruments.","url_abs":"https://arxiv.org/abs/1906.09360v2","url_pdf":"https://arxiv.org/pdf/1906.09360v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"scalable-bayesian-dynamic-covariance-modeling","repo_url":"https://github.com/ckheaukulani/swpr","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"tf","reach":null}],"tasks":[{"task_slug":"gaussian-processes","task_name":"Gaussian Processes"},{"task_slug":"time-series-1","task_name":"Time Series"},{"task_slug":"time-series","task_name":"Time Series Analysis"},{"task_slug":"variational-inference","task_name":"Variational Inference"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":"https://app.syntology.ai/?focus=1906.09360","mcp":{"get_harvested_code_for_paper":{"arxiv_id":"1906.09360"}},"developers":"https://syntology.ai/developers","read_at":"2026-09-24T18:15:14+00:00","read_at_is":"when the build read Syntology's graph, not when any sample ran","claim":"Per-sample execution status on synthesized fixtures; not a correctness claim about the paper. Samples come from repositories linked to the paper, official or community; repo_kind says which.","repos":[{"provenance":"external:paperswithcode_snapshot_2025-07-28","url":"https://github.com/ckheaukulani/swpr","reach":null}],"summary":{"ran_draft_wrong":1},"by_repo_kind":{"listed":{"samples":1,"ran":1,"repositories":1}},"repo_kind_vocabulary":{"official":"The archive marks this repository official for the paper","named_in_paper":"The archive records that the paper mentions this repository; it is not marked official","listed":"In the archive's code links for this paper, not marked official and not recorded as mentioned in the paper","found_in_text":"Syntology found this repository in the paper's own text; whether it is the authors' implementation is not asserted","community":"Not in the archive's code links for this paper; a community repository Syntology harvested"},"n_pointer_only_for_licence":1,"samples":[{"code_sha256_prefix":"d9cae9fadd8df122","entry":"get_loglikel","repo":"ckheaukulani/swpr","repo_kind":"listed","path":"models.py","file_url":"https://github.com/ckheaukulani/swpr/blob/HEAD/models.py","link_basis":"first_harvest_node","language":"python","status":"ran_draft_wrong","verification_level":1,"contract_check":"MISDECLARED","metamorphic_tier":"invariant","behaviour_fingerprint":false,"licence":"NONE","inline_ok":false,"mcp_get_code":{"code_sha256":"d9cae9fadd8df122"}}]},"arxiv_metadata":null,"syntology_extracted_results":null}