Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (II): Model Selection
DOI10.1137/16M1094774zbMath1390.60260OpenAlexW2781557975MaRDI QIDQ4636366
Grace X. Hu, David R. Kuipers, Yong Zeng
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/10.1137/16m1094774
model selectionBayes factornonlinear filteringmarked point processmarket microstructure noiseMarkov chain approximation methodpartially observed modelposterior model probabilityultrahigh frequency data
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Cites Work
- Weak convergence for a type of conditional expectation: application to the inference for a class of asset price models
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- Weak limit theorems for stochastic integrals and stochastic differential equations
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- A Class of Multivariate Micromovement Models of Asset Price and Their Bayesian Model Selection via Filtering
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- BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
- A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
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