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stat.ME2013
A Tractable State-Space Model for Symmetric Positive-Definite Matrices
Jesse Windle, Carlos M. Carvalho
Bayesian analysis of state-space models includes computing the posterior distribution of the system's parameters as well as filtering, smoothing, and predicting the system's latent…
stat.CO2013★ 10 cited
Efficient Data Augmentation in Dynamic Models for Binary and Count Data
Jesse Windle, Carlos M. Carvalho, James G. Scott +1
Dynamic linear models with Gaussian observations and Gaussian states lead to closed-form formulas for posterior simulation. However, these closed-form formulas break down when the…