Bayesian inference for fractional Oscillating Brownian motion
Abstract
This paper deals with the problem of parameter estimation in a class of stochastic differential equations driven by a fractional Brownian motion with ????≥1/2 and a discontinuous coefficient in the diffusion. Two Bayesian type estimators are proposed for the diffusion parameters based on Markov Chain Monte Carlo and Approximate Bayesian Computation methods.
Más información
| Título de la Revista: | COMPUTATIONAL STATISTICS |
| Volumen: | 37 |
| Editorial: | SPRINGER HEIDELBERG |
| Fecha de publicación: | 2022 |
| Página de inicio: | 887 |
| Página final: | 907 |
| Idioma: | Inglés |
| URL: | https://link.springer.com/article/10.1007/s00180-021-01146-8#citeas |
| DOI: |
https://doi.org/10.1007/s00180-021-01146-8 |
| Notas: | Artículo aparece en WOS, pero sistema no lo encuentra. |