3 papers
q-fin.CP2017
Realized volatility and parametric estimation of Heston SDEs
Robert Azencott, Peng Ren, Ilya Timofeyev
We present a detailed analysis of \emph{observable} moments based parameter estimators for the Heston SDEs jointly driving the rate of returns and the squared volatilities $V…
stat.OT2016
BFDA: A Matlab Toolbox for Bayesian Functional Data Analysis
Jingjing Yang, Peng Ren
We provide a MATLAB toolbox, BFDA, that implements a Bayesian hierarchical model to smooth multiple functional data with the assumptions of the same underlying Gaussian process dis…
stat.ME2015
Efficient Bayesian hierarchical functional data analysis with basis function approximations using Gaussian-Wishart processes
Jingjing Yang, Dennis D. Cox, Jong Soo Lee +2
Functional data are defined as realizations of random functions (mostly smooth functions) varying over a continuum, which are usually collected with measurement errors on discretiz…