12 citations · 16 across the 11 of their papers we have counts for
3 papers · 1 filter
Spectral divide-and-conquer MCMC for long stationary time series
Zixuan Wang, Matias Quiroz, Feng Li +2
The temporal dependence inherent in time series models poses a fundamental challenge for distributed Bayesian inference, as it precludes embarrassingly parallel algorithms based on…
Time-Varying Multi-Seasonal ARMA Models
Ganna Fagerberg, Mattias Villani, Robert Kohn
We propose an ARMA model that allows for multiple seasonal periods and time varying parameters in both regular and seasonal components, building upon previous work for pure AR proc…
Spectral subsampling MCMC for Lévy-driven continuous-time ARMA models with expensive likelihood contributions
Thomas Goodwin, Matias Quiroz, Robert Kohn +1
Subsampling-based Markov chain Monte Carlo (MCMC) algorithms aim to accelerate Bayesian inference by evaluating the likelihood using only a subset of the data at each iteration. Ho…