38 citations · 62 across the 3 of their papers we have counts for
3 papers
stat.ME2016★ 7 cited
Models of random sparse eigenmatrices matrices and Bayesian analysis of multivariate structure
Andrew J. Cron, Mike West
We discuss probabilistic models of random covariance structures defined by distributions over sparse eigenmatrices. The decomposition of orthogonal matrices in terms of Givens rota…
stat.AP2016★ 17 cited
Dynamics and sparsity in latent threshold factor models: A study in multivariate EEG signal processing
Jouchi Nakajima, Mike West
We discuss Bayesian analysis of multivariate time series with dynamic factor models that exploit time-adaptive sparsity in model parametrizations via the latent threshold approach.…
stat.AP2016★ 38 cited
Bayesian forecasting and scalable multivariate volatility analysis using simultaneous graphical dynamic models
Lutz F. Gruber, Mike West
The recently introduced class of simultaneous graphical dynamic linear models (SGDLMs) defines an ability to scale on-line Bayesian analysis and forecasting to higher-dimensional t…