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

DOI10.3390/E17106576zbMath1343.62049OpenAlexW2162749168WikidataQ101496475 ScholiaQ101496475MaRDI QIDQ296437

Francisco Torres-Avilés, P. L. Andrade, Soledad Torres, Laura L.Ramos

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) Non-Markovian processes: estimation (62M09) Bayesian inference (62F15)

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Uses Software

• R
• longmemo

Cites Work

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

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