Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (II): Model Selection
DOI10.1137/16M1094774zbMATH Open1390.60260OpenAlexW2781557975MaRDI QIDQ4636366FDOQ4636366
Grace X. Hu, David R. Kuipers, Yong Zeng
Publication date: 19 April 2018
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/16m1094774
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model selectionBayes factormarked point processmarket microstructure noisenonlinear filteringMarkov chain approximation methodpartially observed modelposterior model probabilityultrahigh frequency data
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Cited In (6)
- 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
- Filtering on a partially observed ultra-high-frequency data model
- Filtered likelihood for point processes
- A Class of Multivariate Micromovement Models of Asset Price and Their Bayesian Model Selection via Filtering
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