Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series.

Nick James Román Marchant Richard Gerlach Sally Cripps

Published in: CoRR (2019)

Keyphrases

density estimation
financial time series
mixture model
stock market
probability density function
gaussian mixture model
outlier detection
density function
non stationary
exponential family
maximum likelihood
expectation maximization
em algorithm
generative model
image processing
language model