1. BAYESIAN ANALYSIS OF MULTIVARIATE REGIME SWITCHING COVARIANCE MODEL Open Access Author: Zhang, Lu Title: BAYESIAN ANALYSIS OF MULTIVARIATE REGIME SWITCHING COVARIANCE MODEL Graduate Program: Statistics Keywords: dynamic covariancestate space modelMarkov Chain Monte Carlo (MCMC)bayesian analysisstochastic volatilitytime series analysis File: Download Lu-Dissertation.pdf Committee Members: John Liechty, Committee Chair/Co-ChairRunze Li, Committee MemberMurali Haran, Committee MemberTimothy Simin, Committee MemberJames Landis Rosenberger, Committee Member
2. Dual Estimation in State Space Models with Violation to Normality: A Comparison between the Extended Kalman Filter and the Particle Filter Open Access Author: Chen, Meng Title: Dual Estimation in State Space Models with Violation to Normality: A Comparison between the Extended Kalman Filter and the Particle Filter Graduate Program: Statistics Keywords: state space modelKalman filterparticle filterdual estimation File: Download MengChen_MastersThesis_FinalSubmission.pdf Committee Members: Murali Haran, Thesis Advisor/Co-AdvisorLe Bao, Committee MemberEphraim Mont Hanks, Committee MemberEphraim Mont Hanks, Program Head/Chair
