Bayesian functional data modeling for heterogeneous volatility

DOI10.1214/16-BA1004zbMATH Open1384.62122MaRDI QIDQ1699658FDOQ1699658

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

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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)

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

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