Bayesian diffusion process models with time-varying parameters
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Cites work
- scientific article; zbMATH DE number 1114428 (Why is no real title available?)
- scientific article; zbMATH DE number 795289 (Why is no real title available?)
- An Example of Non-Uniqueness of the Solution of the Stochastic Equation of K. Ito
- An equilibrium characterization of the term structure
- Bayes Factors
- Bayes factors for discrete observations from diffusion processes
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- Closed-form likelihood expansions for multivariate diffusions
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Generalized autoregressive conditional heteroscedasticity
- Importance sampling techniques for estimation of diffusion models
- Markov chain Monte Carlo methods for switching diffusion models
- Martingale estimation functions for discretely observed diffusion processes
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
- Monte Carlo sampling methods using Markov chains and their applications
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- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
- Quantum noise. A handbook of Markovian and non-Markovian quantum stochastic methods with applications to quantum optics.
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Sampling the posterior: an approach to non-Gaussian data assimilation
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Cited in
(11)- Bayesian inference for Markov processes with diffusion and discrete components
- A multiresolution method for parameter estimation of diffusion processes
- Efficient and flexible model-based clustering of jumps in diffusion processes
- Bayesian model selection for partially observed diffusion models
- Bayesian forecast of the basic reproduction number during the COVID-19 epidemic in Morocco and Italy
- The Ornstein-Uhlenbeck Dirichlet process and other time-varying processes for Bayesian nonparametric inference
- scientific article; zbMATH DE number 6755887 (Why is no real title available?)
- Flexible Bayesian inference for diffusion processesusing splines
- Statistical model uncertainty for state-observation models driven by diffusion process
- Bayes factors for discrete observations from diffusion processes
- Bayesian statistical parameter synthesis for linear temporal properties of stochastic models
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