Stochastic cusp catastrophe model and its Bayesian computations

DOI10.1080/02664763.2021.1922993OpenAlexW3163377271MaRDI QIDQ5861214

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Publication date: 4 March 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2021.1922993

zbMATH Keywords

stochastic differential equationtransition densityHermite expansionBayesian inferenceHamiltonian Monte Carlocusp catastrophe model

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Applications of statistics (62Pxx)

Related Items (1)

Editorial to the special issue: Recent statistical methods for data analysis, applied economics, business & finance

Uses Software

• sde
• cusp

Cites Work

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• Financial crashes as endogenous jumps: estimation, testing and forecasting
• Can a stochastic cusp catastrophe model explain stock market crashes?
• On the unstable behaviour of stock exchanges
• Computational mind: a complex dynamic perspective.
• Closed-form likelihood expansions for multivariate diffusions
• A First Course in Bayesian Statistical Methods
• Statistical catastrophe theory: An overview
• Applications of Catastrophe Theory for Statistical Modeling in the Biosciences
• Estimation and Moment Recursion Relations for Multimodal Distributions of the Exponential Family

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