Overview
Sylvia Frühwirth-Schnatter is a statistician (WU Vienna University of Economics and Business), a leading figure in Bayesian analysis of finite mixtures, Markov-switching and state-space models, and MCMC methodology.
Key Contributions / Features
- ASIS for stochastic volatility (Kastner-Frühwirth-Schnatter 2014): with Kastner, interweaving parameterizations for efficient SV MCMC.
- Finite Mixture and Markov Switching Models (2006), the standard monograph; foundational work on data augmentation, auxiliary mixture sampling for non-Gaussian state-space models, and Bayesian model selection for mixtures.
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