Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (II): Model Selection
model selectionBayes factormarked point processmarket microstructure noisenonlinear filteringMarkov chain approximation methodpartially observed modelposterior model probabilityultrahigh frequency data
Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Filtering in stochastic control theory (93E11) Central limit and other weak theorems (60F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
- Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
- Bayes estimation via filtering equation through implicit recursive algorithms for financial ultra-high frequency data
- BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
- On numerical aspects of Bayesian model selection in high and ultrahigh-dimensional settings
- A non-parametric Bayesian approach to decompounding from high frequency data
- Bayesian inference for stable Lévy-driven stochastic differential equations with high-frequency data
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- Bayesian lattice filters for time-varying autoregression and time-frequency analysis
- Filtering on a partially observed ultra-high-frequency data model
- Bayesian model selection for beta autoregressive processes
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- A Class of Multivariate Micromovement Models of Asset Price and Their Bayesian Model Selection via Filtering
- A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
- An Introduction to the Theory of Point Processes
- BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
- Bayes Factors
- Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
- Convergence in distribution of conditional expectations
- Markov chain approximations to filtering equations for reflecting diffusion processes.
- On the optimal filtering of diffusion processes
- On the unnormalized solution of the filtering problem with counting process observations
- Unique characterization of conditional distributions in nonlinear filtering
- Weak convergence for a type of conditional expectation: application to the inference for a class of asset price models
- Weak limit theorems for stochastic integrals and stochastic differential equations
- Filtered likelihood for point processes
- Filtering on a partially observed ultra-high-frequency data model
- Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
- A Class of Multivariate Micromovement Models of Asset Price and Their Bayesian Model Selection via Filtering
- Bayes estimation via filtering equation through implicit recursive algorithms for financial ultra-high frequency data
- BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
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