424 citations · 459 across the 13 of their papers we have counts for
4 papers · 1 filter
hmmTMB: hidden Markov models with flexible covariate effects in R
Théo Michelot
Hidden Markov models (HMMs) are widely applied in studies where a discrete-valued process of interest is observed indirectly. They have for example been used to model behaviour fro…
Varying-coefficient stochastic differential equations with applications in ecology
Théo Michelot, Richard Glennie, Catriona Harris +1
Stochastic differential equations (SDEs) are popular tools to analyse time series data in many areas, such as mathematical finance, physics, and biology. They provide a mechanistic…
Markov-switching generalized additive models
Roland Langrock, Thomas Kneib, Richard Glennie +1
We consider Markov-switching regression models, i.e. models for time series regression analyses where the functional relationship between covariates and response is subject to regi…
Semiparametric stochastic volatility modelling using penalized splines
Roland Langrock, Théo Michelot, Alexander Sohn +1
Stochastic volatility (SV) models mimic many of the stylized facts attributed to time series of asset returns, while maintaining conceptual simplicity. The commonly made assumption…