Nonparametric Bayesian inference for stochastic processes with piecewise constant priors

DOI10.1007/978-3-031-47417-0_28MaRDI QIDQ6630469

Denis Belomestny, Frank van der Meulen, Peter Spreij

Publication date: 31 October 2024

stochastic differential equation point process Gibbs sampler diffusion coefficient dispersion coefficient volatility microstructure noise nonparametric Bayesian estimation Lévy density (inverse)gamma Markov chain prior gamma-type subordinators

Mathematics Subject Classification ID

Could not fetch data.

Cites Work

Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
Statistical inference for spatial Poisson processes
Minimax estimation of the diffusion coefficient through irregular samplings
Estimation for nonhomogeneous Poisson processes from aggregated data
A review of Bayesian asymptotics in general insurance applications
Convergence rates of posterior distributions.
Nonparametric Bayesian inference for Gamma-type Lévy subordinators
Spot volatility estimation using delta sequences
Fluctuations of Lévy processes with applications. Introductory lectures
Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations
A theory of the term structure of interest rates
Adapting to Unknown Smoothness via Wavelet Shrinkage
On Rates of Convergence for Bayesian Density Estimation
Conjugate Gamma Markov Random Fields for Modelling Nonstationary Sources
The Calculation of Posterior Distributions by Data Augmentation
Dirichlet process mixture models for insurance loss data
Bayesian Measures of Model Complexity and Fit
Dynamic Linear Models with R
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
Fundamentals of Nonparametric Bayesian Inference
Weak solutions to gamma-driven stochastic differential equations
Nonparametric Bayesian volatility learning under microstructure noise

This page was built for publication: Nonparametric Bayesian inference for stochastic processes with piecewise constant priors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6630469)