Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process

DOI10.1007/978-3-319-02069-3_19zbMath1407.62304MaRDI QIDQ4561944

Kazuhiro Yasuda, Nicolas Vayatis, Arturo Kohatsu-Higa

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_19

zbMATH Keywords

Ornstein-Uhlenbeck process; particle method; Bayesian estimator; filtering problem; computational intensive parameter estimation

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62F15: Bayesian inference

62M05: Markov processes: estimation; hidden Markov models

60J60: Diffusion processes

Related Items

An Ornstein-Uhlenbeck-Type Process Which Satisfies Sufficient Conditions for a Simulation-Based Filtering Procedure, Strong Consistency of Bayesian Estimator Under Discrete Observations and Unknown Transition Density

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