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

DOI10.4310/SII.2013.V6.N4.A7zbMATH Open1326.91033MaRDI QIDQ896586FDOQ896586

Publication date: 10 December 2015

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

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Mathematics Subject Classification ID

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

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