Bayesian inference for stable Lévy–driven stochastic differential equations with high‐frequency data

DOI10.1111/sjos.12362zbMath1418.62288arXiv1707.08788OpenAlexW2963380671MaRDI QIDQ5381074

Ajay Jasra, Hiroki Masuda, Kengo Kamatani

Publication date: 7 June 2019

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.08788

zbMATH Keywords

Monte CarloMarkov chainLévy processhigh-frequency dataBayesian inference

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

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