In this paper, we develop the continuous time dynamic topic model (cDTM). The cDTM is a dynamic topic model that uses Brownian motion to model the latent topics through a sequenti...
This paper presents an LDA-style topic model that captures not only the low-dimensional structure of data, but also how the structure changes over time. Unlike other recent work t...
As massive repositories of real-time human commentary, social media platforms have arguably evolved far beyond passive facilitation of online social interactions. Rapid analysis o...
These notes cover several topics such as The classic capital asset pricing model, The CAPM in general equilibrium, Infinite horizon economies, Continuous time models, Asset pricing...
This paper proposes a nonparametric Bayesian method for exploratory data analysis and feature construction in continuous time series. Our method focuses on understanding shared fe...