Bayes estimation via filtering equation through implicit recursive algorithms for financial ultra-high frequency data

DOI10.4310/SII.2013.V6.N4.A7zbMath1326.91033MaRDI QIDQ896586

N. E. Zubov

Publication date: 10 December 2015

Published in: Statistics and Its Interface (Search for Journal in Brave)

zbMATH Keywords

Bayes estimationnonlinear filteringmarked point processmarket microstructure noiseimplicit methodsultra-high frequency dataMarkov chain approximation methodpartially observed model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (1)

Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation

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