1.8k citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University of ViennaAT14 papers
- Sapienza University of RomeIT12 papers
- Complexity Science HubAT11 papers
- University of SalzburgAT9 papers
- Johannes Kepler University of LinzAT8 papers
- Humboldt-Universität zu BerlinDE7 papers
- The University of MelbourneAU7 papers
- TU WienAT7 papers
- ETH ZurichCH6 papers
- Queensland University of TechnologyAU5 papers
- University College DublinIE5 papers
- University of AmsterdamNL5 papers
4 papers · 2 filters
Sparse Bayesian time-varying covariance estimation in many dimensions
Gregor Kastner
We address the curse of dimensionality in dynamic covariance estimation by modeling the underlying co-volatility dynamics of a time series vector through latent time-varying stocha…
Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models
Florian Huber, Gregor Kastner, Martin Feldkircher
This paper proposes a straightforward algorithm to carry out inference in large time-varying parameter vector autoregressions (TVP-VARs) with mixture innovation components for each…
Optimal Bayesian estimators for latent variable cluster models
Riccardo Rastelli, Nial Friel
In cluster analysis interest lies in probabilistically capturing partitions of individuals, items or observations into groups, such that those belonging to the same group share sim…
Model-based clustering based on sparse finite Gaussian mixtures
Gertraud Malsiner-Walli, Sylvia Frühwirth-Schnatter, Bettina Grün
In the framework of Bayesian model-based clustering based on a finite mixture of Gaussian distributions, we present a joint approach to estimate the number of mixture components an…