Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models

DOI10.1016/j.na.2005.02.095zbMath1224.62088OpenAlexW2164459114MaRDI QIDQ1000051

H. B. Thompson, Igor G. Vladimirov

Publication date: 4 February 2009

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2005.02.095

zbMATH Keywords

stochastic differential equationconjugate priorBayesian prediction

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Diffusion processes (60J60)

Related Items (4)

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Cites Work

• A scalarization technique for computing the power and exponential moments of Gaussian random matrices
• Optimal control of discrete-time stochastic systems
• Nonlinear filtering of Markov diffusion processes
• Evaluation of the Confidence Limits for the “Decay” Parameter of a Complex Stationary Gaussian Markov Process
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