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stat.ME2022
Bayesian Circular Lattice Filters for Computationally Efficient Estimation of Multivariate Time-Varying Autoregressive Models
Yuelei Sui, Scott H. Holan, Wen-Hsi Yang
Nonstationary time series data exist in various scientific disciplines, including environmental science, biology, signal processing, econometrics, among others. Many Bayesian model…
stat.ME2014
Bayesian Lattice Filters for Time-Varying Autoregression and Time-Frequency Analysis
Wen-Hsi Yang, Scott H. Holan, Christopher K. Wikle
Modeling nonstationary processes is of paramount importance to many scientific disciplines including environmental science, ecology, and finance, among others. Consequently, flexib…