Zobrazeno 1 - 10
of 70
pro vyhledávání: '"Stroud, Jonathan R."'
Publikováno v:
Journal of the American Statistical Association, Theory & Methods (2019+)
We propose a new class of filtering and smoothing methods for inference in high-dimensional, nonlinear, non-Gaussian, spatio-temporal state-space models. The main idea is to combine the ensemble Kalman filter and smoother, developed in the geophysics
Externí odkaz:
http://arxiv.org/abs/1704.06988
This paper proposes new methodology for sequential state and parameter estimation within the ensemble Kalman filter. The method is fully Bayesian and propagates the joint posterior density of states and parameters over time. In order to implement the
Externí odkaz:
http://arxiv.org/abs/1611.03835
We propose two new Bayesian smoothing methods for general state-space models with unknown parameters. The first approach is based on the particle learning and smoothing algorithm, but with an adjustment in the backward resampling weights. The second
Externí odkaz:
http://arxiv.org/abs/1604.05658
This paper proposes a new approach for Bayesian and maximum likelihood parameter estimation for stationary Gaussian processes observed on a large lattice with missing values. We propose an MCMC approach for Bayesian inference, and a Monte Carlo EM al
Externí odkaz:
http://arxiv.org/abs/1402.4281
This paper estimates models of high frequency index futures returns using `around the clock' 5-minute returns that incorporate the following key features: multiple persistent stochastic volatility factors, jumps in prices and volatilities, seasonal c
Externí odkaz:
http://arxiv.org/abs/1211.2961
Publikováno v:
The American Statistician, 2016 Nov 01. 70(4), 350-357.
Externí odkaz:
https://www.jstor.org/stable/45118393
Publikováno v:
Journal of the Royal Statistical Society. Series B (Statistical Methodology), 2001 Jan 01. 63(4), 673-689.
Externí odkaz:
https://www.jstor.org/stable/2680659
Publikováno v:
Journal of the American Statistical Association, 2014 Dec 01. 109(508), 1368-1384.
Externí odkaz:
https://www.jstor.org/stable/24247378
Publikováno v:
Journal of the American Statistical Association, 2010 Sep 01. 105(491), 978-990.
Externí odkaz:
https://www.jstor.org/stable/27920121
Publikováno v:
Journal of the Royal Statistical Society. Series B (Statistical Methodology), 2008 Jan 01. 70(2), 413-428.
Externí odkaz:
https://www.jstor.org/stable/20203832