The Ornstein-Uhlenbeck Dirichlet process and other time-varying processes for Bayesian nonparametric inference

DOI10.1016/j.jspi.2011.05.019zbMath1219.62084OpenAlexW1963946426MaRDI QIDQ2276197

Jim E. Griffin

Publication date: 1 August 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2011.05.019

zbMATH Keywords

Ornstein-Uhlenbeck processDirichlet processparticle filteringnormalised random measures with independent incrementstime-dependent Bayesian nonparametrics

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Inference from stochastic processes (62M99) Random measures (60G57) Nonparametric inference (62G99)

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Uses Software

• FinTS

Cites Work

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