5 citations · 10 across the 4 of their papers we have counts for
4 papers
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…
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…
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…
Parametric Estimation from Approximate Data: Non-Gaussian Diffusions
Robert Azencott, Peng Ren, Ilya Timofeyev
We study the problem of parameters estimation in Indirect Observability contexts, where is an unobservable stationary process parametrized by a vector of unknown para…