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

Bayesian functional data analysisGaussian processstate space modelstochastic differential equationvolatility heterogeneity

Mathematics Subject Classification ID

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

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(4)

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

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