124 citations · 550 across the 52 of their papers we have counts for
3 papers · 1 filter
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…
Vector AutoRegressive Moving Average Models: A Review
Marie-Christine Düker, David S. Matteson, Ruey S. Tsay +1
Vector AutoRegressive Moving Average (VARMA) models form a powerful and general model class for analyzing dynamics among multiple time series. While VARMA models encompass the Vect…
Bayesian changepoint detection via logistic regression and the topological analysis of image series
Andrew M. Thomas, Michael Jauch, David S. Matteson
We present a Bayesian method for multivariate changepoint detection that allows for simultaneous inference on the location of a changepoint and the coefficients of a logistic regre…