2 papers
stat.ME2019
An Approach to Efficient Fitting of Univariate and Multivariate Stochastic Volatility Models
Chen Gong, David S. Stoffer
The stochastic volatility model is a popular tool for modeling the volatility of assets. The model is a nonlinear and non-Gaussian state space model, and consequently is difficult…
stat.AP2015
Conditional Spectral Analysis of Replicated Multiple Time Series with Application to Nocturnal Physiology
Robert T. Krafty, Ori Rosen, David S. Stoffer +2
This article considers the problem of analyzing associations between power spectra of multiple time series and cross-sectional outcomes when data are observed from multiple subject…