Bayesian inference for stable Lévy-driven stochastic differential equations with high-frequency data

DOI10.1111/SJOS.12362MaRDI QIDQ5381074zbMATH OpenOpenAlexFDO

Authors Ajay Jasra, Kengo Kamatani, Hiroki Masuda

Publication date 7 June 2019

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1707.08788

zbMATH Keywords

Markov chainBayesian inferenceMonte Carlohigh-frequency dataLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Abstract: In this article we consider parametric Bayesian inference for stochastic differential equations (SDE) driven by a pure-jump stable Levy process, which is observed at high frequency. In most cases of practical interest, the likelihood function is not available, so we use a quasi-likelihood and place an associated prior on the unknown parameters. It is shown under regularity conditions that there is a Bernstein-von Mises theorem associated to the posterior. We then develop a Markov chain Monte Carlo (MCMC) algorithm for Bayesian inference and assisted by our theoretical results, we show how to scale Metropolis-Hastings proposals when the frequency of the data grows, in order to prevent the acceptance ratio going to zero in the large data limit. Our algorithm is presented on numerical examples that help to verify our theoretical findings.

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Cited in

(11)

• Gaussian quasi-information criteria for ergodic Lévy driven SDE
• Data driven time scale in Gaussian quasi-likelihood inference
• Unbiased parameter inference for a class of partially observed Lévy-process models
• Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
• Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (II): Model Selection
• Statistical inference for stochastic differential equations
• Neural networks for the Tamed-Milstein approximation of SDEs with additive symmetric jumps
• Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise
• Bayesian inference for partially observed stochastic differential equations driven by fractional Brownian motion
• Noise inference for ergodic Lévy driven SDE
• Nonparametric Bayesian volatility estimation for gamma-driven stochastic differential equations

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