Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes

DOI10.1111/j.1369-7412.2004.05139.xzbMath1062.62049OpenAlexW2149327835MaRDI QIDQ4665852

Omiros Papaspiliopoulos, Petros Dellaportas, Gareth O. Roberts

Publication date: 11 April 2005

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1369-7412.2004.05139.x

zbMATH Keywords

Lévy processesmarked point processesdata augmentationnon-centred parametrizations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Inference from stochastic processes (62M99) Numerical analysis or methods applied to Markov chains (65C40)

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