scientific article; zbMATH DE number 6378118

MaRDI QIDQ2934046zbMATH OpenFDO

Authors Daniele Durante, Bruno Scarpa, David Dunson

Publication date 8 December 2014

Full work available at URL https://arxiv.org/abs/1210.2022, http://jmlr.csail.mit.edu/papers/v15/durante14a.html

zbMATH Keywords

Bayesian nonparametricslocally varying smoothnessmultivariate time seriesnested Gaussian processstochastic volatility

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(4)

• Bayesian nonparametric analysis of multivariate time series: a matrix gamma process approach
• Bayesian dynamic financial networks with time-varying predictors
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• Process convolution approaches for modeling interacting trajectories

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