3 papers
stat.ME2026
Bayesian inference, on-line forecasting and model choice for large VAR models with Cholesky stochastic volatility
Nicolas Chopin, Andras Fulop, Yuedan Huo +1
We consider -dimensional Bayesian vector autoregressions (BVARs) with Cholesky stochastic volatility (SV), in which the innovation covariance matrix is a lower-triangular linear…
stat.ML2022
Computational Doob's h-transforms for Online Filtering of Discretely Observed Diffusions
Nicolas Chopin, Andras Fulop, Jeremy Heng +1
This paper is concerned with online filtering of discretely observed nonlinear diffusion processes. Our approach is based on the fully adapted auxiliary particle filter, which invo…
stat.CO2022
Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models
Andras Fulop, Jeremy Heng, Junye Li
Most solved dynamic structural macrofinance models are non-linear and/or non-Gaussian state-space models with high-dimensional and complex structures. We propose an annealed contro…