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stat.ME2026
BASTION: A Bayesian Framework for Trend and Seasonality Decomposition
Jason B. Cho, David S. Matteson
We introduce BASTION (Bayesian Adaptive Seasonality and Trend DecompositION), a flexible Bayesian framework for decomposing time series into trend and multiple seasonality componen…
stat.ME2024
Smoothing Variances Across Time: Adaptive Stochastic Volatility
Jason B. Cho, David S. Matteson
We introduce a novel Bayesian framework for estimating time-varying volatility by extending the Random Walk Stochastic Volatility (RWSV) model with Dynamic Shrinkage Processes (DSP…