@article{JMLR:v15:durante14a,
  author  = {Daniele Durante and Bruno Scarpa and David B. Dunson},
  title   = {Locally Adaptive Factor Processes for Multivariate Time Series},
  journal = {Journal of Machine Learning Research},
  year    = {2014},
  volume  = {15},
  number  = {44},
  pages   = {1493--1522},
  url     = {http://jmlr.org/papers/v15/durante14a.html}
}