Bayesian Poisson process partition calculus with an application to Bayesian Lévy moving averages

DOI10.1214/009053605000000336zbMath1078.62106arXivmath/0508283MaRDI QIDQ2583419

Lancelot F. James

Publication date: 16 January 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0508283

zbMATH Keywords

cumulants; Lévy measure; multiplicative intensity models; inhomogeneous Poisson process; generalized gamma process; weighted Chinese restaurant

Mathematics Subject Classification ID

62M30: Inference from spatial processes

62G05: Nonparametric estimation

62F15: Bayesian inference

62M99: Inference from stochastic processes

60G57: Random measures

62G99: Nonparametric inference

Related Items

Sparse Graphs Using Exchangeable Random Measures, A Class of Hazard Rate Mixtures for Combining Survival Data From Different Experiments, MCMC for normalized random measure mixture models, Bayesian inference with dependent normalized completely random measures, Dirichlet mean identities and laws of a class of subordinators, Bayesian non-parametric mixtures of GARCH(1,1) models, Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process, Quantitative comparisons between finitary posterior distributions and Bayesian posterior distributions, On Bayes inference for a bathtub failure rate via S-paths, Quantile clocks, A Monte Carlo Markov chain algorithm for a class of mixture time series models, Stick-breaking representation and computation for normalized generalized gamma processes, Pricing risky debts under a Markov-modulated Merton model with completely random measures, Pricing participating products under a generalized jump-diffusion model, On option pricing under a completely random measure via a generalized Esscher transform, Linear and quadratic functionals of random hazard rates: An asymptotic analysis, Central limit theorems for double Poisson integrals, Bayesian mixture of autoregressive models, Full Bayesian inference with hazard mixture models, Distribution theory for hierarchical processes, A note on the hedging of options by Malliavin calculus in a jump-diffusion market, Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach, Analytical pricing of vulnerable options under a generalized jump-diffusion model, Asymptotics for posterior hazards, A conjugate class of random probability measures based on tilting and with its posterior analysis, Poisson calculus for spatial neutral to the right processes, A Bayes method for a monotone hazard rate via \(S\)-paths, Bayesian Poisson process partition calculus with an application to Bayesian Lévy moving averages, Modelling long-term investment returns via Bayesian infinite mixture time series models, Posterior analysis for some classes of nonparametric models, Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On a class of Bayesian nonparametric estimates. II: Hazard rate estimates
• On a class of Bayesian nonparametric estimates: I. Density estimates
• Nonparametric Bayes estimators based on beta processes in models for life history data
• A Bayesian nonparametric approach to reliability
• Size-biased sampling of Poisson point processes and excursions
• An introduction to the theory of point processes
• Mixtures of Dirichlet processes with applications to Bayesian nonparametric problems
• Uses of exchangeability
• Nonparametric inference for a family of counting processes
• Exponential families of stochastic processes
• Ferguson distributions via Polya urn schemes
• Distributional results for means of normalized random measures with independent increments
• Nonparametric hierarchical Bayes via sequential imputations
• Tailfree and neutral random probabilities and their posterior distributions
• Exchangeable and partially exchangeable random partitions
• Normalized random measures driven by increasing additive processes
• Completely random measures
• The sampling theory of selectively neutral alleles
• A Bayesian analysis of some nonparametric problems
• Bayesian Poisson process partition calculus with an application to Bayesian Lévy moving averages
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Bayesian nonparametric statistical inference for Poisson point processes
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• Poisson/gamma random field models for spatial statistics
• Estimating Normal Means with a Dirichlet Process Prior
• Generalized Gamma measures and shot-noise Cox processes
• Computational Methods for Multiplicative Intensity Models Using Weighted Gamma Processes
• Statistical models based on counting processes