Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices

Cites Work

Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals
Guided proposals for simulating multi-dimensional diffusion bridges
Sequential Monte Carlo with Highly Informative Observations
The Distribution of Realized Exchange Rate Volatility
On Generating Monte Carlo Samples of Continuous Diffusion Bridges
Title not available (Why is that?)
Geometric Means in a Novel Vector Space Structure on Symmetric Positive‐Definite Matrices
Estimating covariation: Epps effect, microstructure noise
Riemannian geometry and geometric analysis
Bayesian inference for nonlinear multivariate diffusion models observed with error
Wishart processes
The Wishart autoregressive process of multivariate stochastic volatility
Riemannian center of mass and mollifier smoothing
Continuous Time Wishart Process for Stochastic Risk
The Riemannian geometry of the space of positive-definite matrices and its application to the regularization of positive-definite matrix-valued data
On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
Likelihood Inference for Discretely Observed Nonlinear Diffusions
A Differential Geometric Approach to the Geometric Mean of Symmetric Positive-Definite Matrices
Riemannian geometry for the statistical analysis of diffusion tensor data
Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes
Title not available (Why is that?)
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
Title not available (Why is that?)
Advanced MCMC methods for sampling on diffusion pathspace
Statistical Inference for Discretely Observed Markov Jump Processes
Positive-definite matrix processes of finite variation
Derivative pricing with Wishart multivariate stochastic volatility
Principal components analysis in the space of phylogenetic trees
The conditional autoregressive Wishart model for multivariate stock market volatility
Title not available (Why is that?)
Regularizing flows for constrained matrix-valued images
Non-Euclidean statistics for covariance matrices, with applications to diffusion tensor imaging
Orthonormal vector sets regularization with PDE's and applications
A nonparametric Riemannian framework on tensor field with application to foreground segmentation
Simulation of conditioned diffusion and application to parameter estimation
Möbius deconvolution on the hyperbolic plane with application to impedance density estimation
Construction of the Brownian motion and the Ornstein-Uhlenbeck process in a Riemannian manifold on basis of the Gangolli-Mc.Kean injection scheme
Inference for stochastic volatility models using time change transformations
Closed form formulae for the heat kernels and the Green functions for the Laplacians on the symmetric spaces of rank one
Forecasting multivariate realized stock market volatility
A regularized bridge sampler for sparsely sampled diffusions
Stochastic covariance models
Brownian motions on the $3$-dimensional rotation group
Brownian motion and Ornstein-Uhlenbeck processes in planar shape space
On the construction of certain diffusions on a differentiable manifold
Differential geometry of manifolds
Improved bridge constructs for stochastic differential equations
Riemannian Gaussian Distributions on the Space of Symmetric Positive Definite Matrices
Scaling-Rotation Distance and Interpolation of Symmetric Positive-Definite Matrices
Title not available (Why is that?)
The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility

This page was built for publication: Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6635722)