Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo

DOI10.1111/j.1467-9469.2010.00723.xzbMath1246.91149OpenAlexW1774527694MaRDI QIDQ2911650

Arnaud Doucet, Ajay Jasra, Theodoros Tsagaris, David A. Stephens

Publication date: 1 September 2012

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2010.00723.x

zbMATH Keywords

stochastic volatilityMarkov chain Monte Carlosequential Monte Carlo

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Bayesian inference (62F15) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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