Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme

DOI10.1007/s00180-018-0799-6zbMath1417.62349OpenAlexW2789304017WikidataQ130206650 ScholiaQ130206650MaRDI QIDQ1729305

Theodore Simos, Mike G. Tsionas

Publication date: 27 February 2019

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-018-0799-6

zbMATH Keywords

MCMCBayesian modellingcontinuous time modellinglong memory/anti-persistence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

Related Items (2)

A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework ⋮ Chebyshev-Legendre spectral method and inverse problem analysis for the space fractional Benjamin-Bona-Mahony equation

Uses Software

• longmemo

Cites Work

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