21 citations · 28 across the 7 of their papers we have counts for
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stat.ME2019
Continuous-time Markov-switching GARCH Process with Robust and Efficient State Path and Volatility Estimation
Yinan Li, Fang Liu
We propose a continuous-time Markov-switching generalized autoregressive conditional heteroskedasticity (COMS-GARCH) process for handling irregularly spaced time series (TS) with m…
stat.ME2018★ 1 cited
AdaPtive Noisy Data Augmentation (PANDA) for Simultaneous Construction of Multiple Graph Models
Yinan Li, Xiao Liu, Fang Liu
We extend the data augmentation technique PANDA by Li et al. (2018) that regularizes single graph estimation to jointly learning multiple graphical models with various node types i…