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

DOI10.3390/E17106576zbMATH Open1343.62049OpenAlexW2162749168WikidataQ101496475 ScholiaQ101496475MaRDI QIDQ296437FDOQ296437

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

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

• The pricing of options and corporate liabilities
• Approximate Bayesian computational methods
• Student processes
• ABC likelihood-free methods for model choice in Gibbs random fields
• Can a significance test be genuinely Bayesian?
• 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
• Option pricing under a gamma-modulated diffusion process

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

Uses Software

• R
• longmemo

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