The Ornstein-Uhlenbeck Dirichlet process and other time-varying processes for Bayesian nonparametric inference

DOI10.1016/J.JSPI.2011.05.019MaRDI QIDQ2276197zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Ornstein-Uhlenbeck processDirichlet processparticle filteringnormalised random measures with independent incrementstime-dependent Bayesian nonparametrics

Mathematics Subject Classification ID

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)

Recommendations

• On Bayesian nonparametric estimation for stochastic processes
• Bayesian nonparametric analysis based on a general Dirichlet process
• Bayesian diffusion process models with time-varying parameters
• A fleming-Viot process and Bayesian nonparametrics
• Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
• Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
• Bayesian nonparametric analysis for a generalized Dirichlet process prior
• Statistical inference for generalized Ornstein-Uhlenbeck processes
• Nonparametric bayes estimates of estimable parameters with a dirichlet invarant process and inveriant u-statistics

Cites work

• scientific article; zbMATH DE number 3518091 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• A Bayesian analysis of some nonparametric problems
• A Representation of Independent Increment Processes without Gaussian Components
• Analysis of Financial Time Series
• Bayesian Inference for Linear Dynamic Models With Dirichlet Process Mixtures
• Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
• Bayesian Semiparametric Dynamic Frailty Models for Multiple Event Time Data
• Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes
• Controlling the Reinforcement in Bayesian Non-Parametric Mixture Models
• Distributional results for means of normalized random measures with independent increments
• Ferguson distributions via Polya urn schemes
• Fractional Ornstein-Uhlenbeck Lévy processes and the telecom process: Upstairs and downstairs
• Gibbs Sampling Methods for Stick-Breaking Priors
• Gibbs Sampling for Bayesian Non-Conjugate and Hierarchical Models by Using Auxiliary Variables
• Hierarchical Mixture Modeling With Normalized Inverse-Gaussian Priors
• Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Nonparametric Bayesian data analysis
• Normalized random measures driven by increasing additive processes
• Order-Based Dependent Dirichlet Processes
• Posterior Analysis for Normalized Random Measures with Independent Increments
• Sequential Monte Carlo Methods in Practice
• Sequential importance sampling for nonparametric Bayes models: The next generation
• Slice sampling. (With discussions and rejoinder)
• Some further developments for stick-breaking priors: finite and infinite clustering and classifica\-tion
• Stick-breaking autoregressive processes
• Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection
• Superposition of Ornstein-Uhlenbeck type processes

Cited in

(10)

• Geometric stick-breaking processes for continuous-time Bayesian nonparametric modeling
• Modelling and computation using NCoRM mixtures for density regression
• A class of measure-valued Markov chains and Bayesian nonparametrics
• Innovation, growth and aggregate volatility from a Bayesian nonparametric perspective
• Comparing Distributions by using Dependent Normalized Random-Measure Mixtures
• Generalized Pólya urn for time-varying Pitman-Yor processes
• scientific article; zbMATH DE number 7255058 (Why is no real title available?)
• 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

Describes a project that uses

Uses Software

• FinTS

This page was built for publication: The Ornstein-Uhlenbeck Dirichlet process and other time-varying processes for Bayesian nonparametric inference

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2276197)