Bayesian functional data modeling for heterogeneous volatility

DOI10.1214/16-BA1004zbMath1384.62122MaRDI QIDQ1699658

David B. Dunson, Bin Zhu

Publication date: 23 February 2018

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ba/1461603846

zbMATH Keywords

stochastic differential equationGaussian processstate space modelBayesian functional data analysisvolatility heterogeneity

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Nonparametric estimation (62G05) Bayesian inference (62F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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