Bayesian inference on the memory parameter for gamma-modulated regression models

DOI10.3390/E17106576MaRDI QIDQ296437zbMATH OpenOpenAlexWikidataFDO

Authors Plinio Andrade, Soledad Torres, Francisco J. Torres-Avilés, L. R. Rifo

Publication date 15 June 2016

Published in Entropy (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3390/e17106576

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Bayesian inference (62F15) Non-Markovian processes: estimation (62M09)

Cites work

• ABC likelihood-free methods for model choice in Gibbs random fields
• Approximate Bayesian computational methods
• Approximately sufficient statistics and Bayesian computation
• Can a significance test be genuinely Bayesian?
• Full Bayesian Analysis for a Class of Jump-Diffusion Models
• Full Bayesian Significance Test for Zero-Inflated Distributions
• Long-range dependence and approximate Bayesian computation
• Option pricing under a gamma-modulated diffusion process
• Some Extensions of W. Gautschi's Inequalities for the Gamma Function
• Student processes
• The pricing of options and corporate liabilities

Cited in

(2)

• The \(e\)-value: a fully Bayesian significance measure for precise statistical hypotheses and its research program
• Parameter estimation for fractional power type diffusion: A hybrid Bayesian-deep learning approach

Describes a project that uses

Uses Software

• R
• longmemo

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