Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
DOI10.1137/16M1094762zbMath1390.60259OpenAlexW2781800965MaRDI QIDQ4636365
Yong Zeng, David R. Kuipers, Grace X. Hu
Publication date: 19 April 2018
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/16m1094762
Bayes estimationnonlinear filteringmarked point processmarket microstructure noiseMarkov chain approximation methodpartially observed modelultrahigh frequency data
Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Bayesian inference (62F15) Filtering in stochastic control theory (93E11) Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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