Bayesian sequential inference for nonlinear multivariate diffusions
نویسندگان
چکیده
منابع مشابه
Bayesian sequential inference for nonlinear multivariate diffusions
In this paper, we adapt recently developed simulation-based sequential algorithms to the problem concerning the Bayesian analysis of discretely observed diffusion processes. The estimation framework involves the introduction of m−1 latent data points between every pair of observations. Sequential MCMC methods are then used to sample the posterior distribution of the latent data and the model pa...
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FRANK VAN DER MEULEN1 and HARRY VAN ZANTEN2 1Delft Institute of Applied Mathematics (DIAM), Faculty of Electrical Engineering, Mathematics and Computer Science, Delft University of Technology, Mekelweg 4, 2628 CD Delft, The Netherlands. E-mail: [email protected] 2Department of Mathematics, Eindhoven University of Technology, P.O. Box 513, 5600 MB Eindhoven, The Netherlands. E-mail: j....
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ژورنال
عنوان ژورنال: Statistics and Computing
سال: 2006
ISSN: 0960-3174,1573-1375
DOI: 10.1007/s11222-006-9392-x