Bayes factors for discrete observations from diffusion processes

DOI10.1093/BIOMET/81.1.11MaRDI QIDQ4299477zbMATH OpenOpenAlexFDO

Authors Gareth O. Roberts, Nicholas G. Polson

Publication date 29 June 1995

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/415331a74ba0a958465391d9b3cb6828a7aee447

zbMATH Keywords

model selectionrandom walkBayes factorOrnstein-Uhlenbeck processstochastic volatilitydiffusionsexponential Brownian motiontime-seriesBrownian motion with driftlogistic growth modelmean reversion processordinary stochastic differential equationcontinuous semi-martingale models

Mathematics Subject Classification ID

Bayesian inference (62F15) Inference from stochastic processes (62M99) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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