Author

Robert Kohn

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Preprint Sep 2026

Spectral divide-and-conquer MCMC for long stationary time series

The temporal dependence inherent in time series models poses a fundamental challenge for distributed Bayesian inference, as it precludes embarrassingly parallel algorithms based on naive independence assumptions in the time domain. We propose a frequency-domain framework for scalable Bayesian inference in stationary ti...

Zi-Xuan Wang, M. Quiroz, Feng Li et al. · 0 citations

Preprint Aug 2026

Time-Varying Multi-Seasonal ARMA Models

We propose an ARMA model that allows for multiple seasonal periods and time varying parameters in both regular and seasonal components, building upon previous work for pure AR processes and the conditional likelihood. The model is parameterized to ensure stability and invertibility at each time point. The parameter evo...

Ganna Fagerberg, Mattias Villani, Robert Kohn · 0 citations