Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models
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Publication:1000051
DOI10.1016/j.na.2005.02.095zbMath1224.62088MaRDI QIDQ1000051
H. B. Thompson, Igor G. Vladimirov
Publication date: 4 February 2009
Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.na.2005.02.095
62M20: Inference from stochastic processes and prediction
62F15: Bayesian inference
60J60: Diffusion processes