N. Glatt-Holtz

Stable Matrix Parametrizations and Structured Adjoints for Ornstein-Uhlenbeck Processes

Ornstein-Uhlenbeck processes with flexible multivariate drift matrices are powerful models for capturing coupled, asymmetric, and damped-oscillatory mean reversion. However, likelihood-based inference is challenging because the drift matrix must remain Hurwitz stable, while likelihood and gradient evaluations require r...