Results 91 to 100 of about 1,207 (171)
Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch), 365-400. Springer-Verlag: New York. April 2009. ) [PDF]
The success of univariate stochastic volatility (SV) models in relation to univariate GARCH models has spurred an enormous interest in generalizations of SV models to a multivariate setting.
Manabu Asai +2 more
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Bayesian Estimation of Graphical Gaussian Models with Edges and Vertices Symmetries [PDF]
, 2017 We consider the Bayesian analysis of undirected graphical Gaussian models with edges and vertices symmetries. The graphical Gaussian models with equality constraints on the precision matrix, that is the inverse covariance matrix, introduced by Hojsgaard ...
Li, Qiong
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Student-t processes as alternatives to Gaussian processes
, 2014 We investigate the Student-t process as an alternative to the Gaussian process as a non-parametric prior over functions. We derive closed form expressions for the marginal likelihood and predictive distribution of a Student-t process, by integrating away
Shah, A, Ghahramani, Z, ,, Wilson, AG
core +1 more source
, 2011 Motivation: With the development of high-throughput genomic and proteomic technologies, coupled with the inherent difficulties in obtaining large samples, biomedicine faces difficult small-sample classification issues, in particular, error estimation ...
Edward R. Dougherty, Lori A. Dalton
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Greedy Reduction Algorithms for Mixtures of Exponential Family
, 2015 In this letter, we propose a general framework for greedy reduction of mixture densities of exponential family. The performances of the generalized algorithms are illustrated both on an artificial example where randomly generated mixture densities are ...
Granstrom, Karl +7 more
core +1 more source
Implementation of the GIW-PHD filter
, 2012 This report contains pseudo-code for, and a computational complexity analysis of, the Gaussian inverse Wishart Probability Hypothesis Density filter ...
Orguner, Umut, Granström, Karl
core
This paper extends various results related to the Gaussian product inequality (GPI) conjecture to the setting of disjoint principal minors of Wishart random matrices.
Genest, Christian +2 more
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Objective Bayesian model selection in Gaussian graphical models
, 2007 This paper presents a default model-selection procedure for Gaussian graphical models that involves two new developments. First, we develop an objective version of the hyper-inverse Wishart prior for restricted covariance matrices, called the HIW g-prior,
M. Carvalho, James G. Scott
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Restricted covariance priors with applications in spatial statistic [PDF]
, 2015 We present a Bayesian model for area-level count data that uses Gaussian random effects with a novel type of G-Wishart prior on the inverse variance–covariance matrix.
Dobra, Adrian +2 more
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Implementation of the GIW-PHD filter [Elektronisk resurs]
, 2012 This report contains pseudo-code for, and a computational complexity analysis of, the Gaussian inverse Wishart Probability Hypothesis Density filter.
Granström, Karl,, Orguner, Umut,
core