Bayesian functional data modeling for heterogeneous volatility

DOI10.1214/16-BA1004MaRDI QIDQ1699658zbMATH OpenFDO

Authors Bin Zhu, David Dunson

Publication date 23 February 2018

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ba/1461603846

zbMATH Keywords

state space modelGaussian processstochastic differential equationBayesian functional data analysisvolatility heterogeneity

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• Functional data analysis for volatility
• Bayesian latent factor regression for functional and longitudinal data
• A Bayesian regression model for multivariate functional data
• Bayesian Adaptive Regression Splines for Hierarchical Data
• A Bayesian Model for Sparse Functional Data

Cited in

(4)

• Bayesian inference for the hazard term structure with functional predictors using Bayesian predictive information criteria
• Bayesian analysis of ambulatory blood pressure dynamics with application to irregularly spaced sparse data
• Bayesian latent factor regression for functional and longitudinal data
• Controlling the flexibility of non-Gaussian processes through shrinkage priors

This page was built for publication: Bayesian functional data modeling for heterogeneous volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1699658)