Browsing Statistics by Author "Bhattacharya, Arnab"

Now showing items 1-2 of 2

    • A Bayesian approach to modeling mortgage default and prepayment 

      Wilson, Simon; Bhattacharya, Arnab; Soyer, Refik (2019)
      In this paper we present a Bayesian competing risk proportional hazards model to describe mortgage defaults and prepayments. We develop Bayesian inference for the model using Markov chain Monte Carlo methods. Implementation ...

    • Fast sequential parameter inference for dynamic state space models 

      Bhattacharya, Arnab (Trinity College (Dublin, Ireland). School of Computer Science & Statistics, 2012)
      Many problems in science require estimation and inference on systems that generate data over time. Such systems, quite common in statistical signal processing, time series analysis and econometrics, can be stated in a ...