Bayes estimation via filtering equation through implicit recursive algorithms for financial ultra-high frequency data

DOI10.4310/SII.2013.V6.N4.A7MaRDI QIDQ896586zbMATH OpenFDO

Authors N. E. Zubov

Publication date 10 December 2015

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/SII.2013.V6.N4.A7

zbMATH Keywords

Bayes estimationimplicit methodsmarked point processmarket microstructure noiseMarkov chain approximation methodnonlinear filteringpartially observed modelultra-high frequency data

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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(4)

• Filtering on a partially observed ultra-high-frequency data model
• 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
• A recursive robust Bayesian estimation in partially observed financial market

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