Bayesian diffusion process models with time-varying parameters

DOI10.1016/J.JKSS.2011.08.001zbMATH Open1296.60214OpenAlexW2085045433MaRDI QIDQ744748FDOQ744748

Authors: Yongku Kim, L. Mark Berliner, Suk-Bok Kang 

Publication date: 26 September 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2011.08.001

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zbMATH Keywords

Bayesian inferencetime-varying parameter modelS\&P 500 stock indexdiscretely observed diffusion processprocess augmentation

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60)

Cites Work

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Cited In (6)

• Title not available (Why is that?)
• Bayesian statistical parameter synthesis for linear temporal properties of stochastic models
• Statistical model uncertainty for state-observation models driven by diffusion process
• Bayesian forecast of the basic reproduction number during the Covid-19 epidemic in Morocco and Italy
• The Ornstein-Uhlenbeck Dirichlet process and other time-varying processes for Bayesian nonparametric inference
• Bayes factors for discrete observations from diffusion processes

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