Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices
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Cites work
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- A Differential Geometric Approach to the Geometric Mean of Symmetric Positive-Definite Matrices
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- Bayesian inference for nonlinear multivariate diffusion models observed with error
- Brownian motion and Ornstein-Uhlenbeck processes in planar shape space
- Brownian motions on the $3$-dimensional rotation group
- Closed form formulae for the heat kernels and the Green functions for the Laplacians on the symmetric spaces of rank one
- Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes
- Construction of the Brownian motion and the Ornstein-Uhlenbeck process in a Riemannian manifold on basis of the Gangolli-Mc.Kean injection scheme
- Continuous Time Wishart Process for Stochastic Risk
- Derivative pricing with Wishart multivariate stochastic volatility
- Differential geometry of manifolds
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Estimating covariation: Epps effect, microstructure noise
- Forecasting multivariate realized stock market volatility
- Geometric Means in a Novel Vector Space Structure on Symmetric Positive‐Definite Matrices
- Guided proposals for simulating multi-dimensional diffusion bridges
- Improved bridge constructs for stochastic differential equations
- Inference for stochastic volatility models using time change transformations
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Möbius deconvolution on the hyperbolic plane with application to impedance density estimation
- Non-Euclidean statistics for covariance matrices, with applications to diffusion tensor imaging
- On generating Monte Carlo samples of continuous diffusion bridges
- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
- On the construction of certain diffusions on a differentiable manifold
- Orthonormal vector sets regularization with PDE's and applications
- Positive-definite matrix processes of finite variation
- Principal components analysis in the space of phylogenetic trees
- Regularizing flows for constrained matrix-valued images
- Riemannian Gaussian Distributions on the Space of Symmetric Positive Definite Matrices
- Riemannian center of mass and mollifier smoothing
- Riemannian geometry and geometric analysis
- Riemannian geometry for the statistical analysis of diffusion tensor data
- Scaling-rotation distance and interpolation of symmetric positive-definite matrices
- Sequential Monte Carlo with Highly Informative Observations
- Simulation of conditioned diffusion and application to parameter estimation
- Statistical Inference for Discretely Observed Markov Jump Processes
- Stochastic covariance models
- The Distribution of Realized Exchange Rate Volatility
- The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility
- The Riemannian geometry of the space of positive-definite matrices and its application to the regularization of positive-definite matrix-valued data
- The Wishart autoregressive process of multivariate stochastic volatility
- The conditional autoregressive Wishart model for multivariate stock market volatility
- Wishart processes
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