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stat.CO2026
Bayesian Inference for Partially Observed McKean-Vlasov SDEs with Full Distribution Dependence
Ning Ning, Amin Wu
McKean-Vlasov stochastic differential equations (MVSDEs) describe systems whose dynamics depend on both individual states and the population distribution, and they arise widely in…
stat.CO2025
Hysteretic Multivariate Bayesian Structural GARCH Model with Soft Information
Tzu-Hsin Chien, Ning Ning, Shih-Feng Huang
This study introduces the SH-MBS-GARCH model, a hysteretic multivariate Bayesian structural GARCH framework that integrates hard and soft information to capture the joint dynamics…