244 citations · 517 across the 23 of their papers we have counts for
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stat.ME2013
Nonparametric inference in hidden Markov models using P-splines
Roland Langrock, Thomas Kneib, Alexander Sohn +1
Hidden Markov models (HMMs) are flexible time series models in which the distributions of the observations depend on unobserved serially correlated states. The state-dependent dist…
stat.ME2013
Semiparametric stochastic volatility modelling using penalized splines
Roland Langrock, Théo Michelot, Alexander Sohn +1
Stochastic volatility (SV) models mimic many of the stylized facts attributed to time series of asset returns, while maintaining conceptual simplicity. The commonly made assumption…