The Ornstein-Uhlenbeck Dirichlet process and other time-varying processes for Bayesian nonparametric inference
DOI10.1016/J.JSPI.2011.05.019zbMATH Open1219.62084OpenAlexW1963946426MaRDI QIDQ2276197FDOQ2276197
Authors: J. E. Griffin 
Publication date: 1 August 2011
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2011.05.019
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Ornstein-Uhlenbeck processDirichlet processparticle filteringnormalised random measures with independent incrementstime-dependent Bayesian nonparametrics
Computational methods in Markov chains (60J22) Bayesian inference (62F15) Inference from stochastic processes (62M99) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric inference (62G99) Random measures (60G57)
Cites Work
- Analysis of Financial Time Series
- Slice sampling. (With discussions and rejoinder)
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Sequential Monte Carlo Methods in Practice
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- A Representation of Independent Increment Processes without Gaussian Components
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- Gibbs Sampling for Bayesian Non-Conjugate and Hierarchical Models by Using Auxiliary Variables
- Bayesian Inference for Linear Dynamic Models With Dirichlet Process Mixtures
- Stick-breaking autoregressive processes
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- Controlling the Reinforcement in Bayesian Non-Parametric Mixture Models
- Some further developments for stick-breaking priors: finite and infinite clustering and classifica\-tion
- Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection
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- Bayesian Semiparametric Dynamic Frailty Models for Multiple Event Time Data
Cited In (10)
- Geometric stick-breaking processes for continuous-time Bayesian nonparametric modeling
- Modelling and computation using NCoRM mixtures for density regression
- Comparing Distributions by using Dependent Normalized Random-Measure Mixtures
- A class of measure-valued Markov chains and Bayesian nonparametrics
- Innovation, growth and aggregate volatility from a Bayesian nonparametric perspective
- Generalized Pólya urn for time-varying Pitman-Yor processes
- Title not available (Why is that?)
- Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion
- A Bayesian nonparametric approach to modeling market share dynamics
- Conjugacy properties of time-evolving Dirichlet and gamma random measures
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