Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models
type: Item
instance of: scholarly article
title: Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models
zbMATH Open document ID: 1224.62088
author: Bevan Thompson
author: Igor G. Vladimirov
published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods
publication date: 2009-02-04T00:00:00Z
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 5502859
zbMATH Keywords: stochastic differential equation
zbMATH Keywords: Bayesian prediction
zbMATH Keywords: conjugate prior
MaRDI profile type: Publication
full work available at URL: j.na.2005.02.095
OpenAlex ID: W2164459114
cites work: Q5600232
cites work: Evaluation of the Confidence Limits for the “Decay” Parameter of a Complex Stationary Gaussian Markov Process
cites work: Q5509397
cites work: Q4293547
cites work: Nonlinear filtering of Markov diffusion processes
cites work: Q4148534
cites work: Q5647770
cites work: Q4693134
cites work: Q4223074
cites work: Q4220653
cites work: Optimal control of discrete-time stochastic systems
cites work: A scalarization technique for computing the power and exponential moments of Gaussian random matrices
cites work: Q5428544
DOI: 10.1016/J.NA.2005.02.095
Recommended article: Bayesian estimation and the application of long memory stochastic volatility models
Recommended article: Bayesian Inference for the Jump-Diffusion Model withMJumps
Recommended article: Q3005011
Recommended article: Q3374314
Recommended article: Q5301786
Recommended article: Q3580294
Recommended article: Bayesian Estimation for the Markov-Modulated Diffusion Risk Model
Recommended article: Bayesian semiparametric stochastic volatility modeling
Recommended article: Bayesian estimation of an extended local scale stochastic volatility model
description: scientific article; zbMATH DE number 5502859