251 citations · 512 across the 26 of their papers we have counts for
3 papers · 1 filter
Inference for sparsely sampled Gauss-Markov processes under outcome-dependent dropout
Alexander Aue, Siegfried Hörmann, Maximilian Ofner
We consider sparsely observed functional data generated by a latent Gauss-Markov process modeled through a linear stochastic differential equation (SDE). Motivated by an applicatio…
Geometric Regime--Switching Diffusions on Stratified Riemannian Spaces with an Application to Covariance Matrices
Leonardo Marconi, Matteo Farnè, Alexander Aue
We construct geometric regime-switching diffusions, a class of Markov processes on locally compact stratified Riemannian state spaces. In contrast with classical regime-switching a…
An operator-level ARCH Model
Alexander Aue, Sebastian Kühnert, Gregory Rice +1
AutoRegressive Conditional Heteroscedasticity (ARCH) models are standard for modeling time series exhibiting volatility, with a rich literature in univariate and multivariate setti…