Strong Consistency of the Bayesian Estimator for the Ornstein–Uhlenbeck Process
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Publication:4561944
DOI10.1007/978-3-319-02069-3_19zbMath1407.62304MaRDI QIDQ4561944
Arturo Kohatsu-Higa, Nicolas Vayatis, Kazuhiro Yasuda
Publication date: 13 December 2018
Published in: Inspired by Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_19
Ornstein-Uhlenbeck process; particle method; Bayesian estimator; filtering problem; computational intensive parameter estimation
62M20: Inference from stochastic processes and prediction
62F15: Bayesian inference
62M05: Markov processes: estimation; hidden Markov models
60J60: Diffusion processes
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