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 H⥠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 según WOS: | Bayesian inference for fractional Oscillating Brownian motion |
| Título según SCOPUS: | Bayesian inference for fractional Oscillating Brownian motion |
| Título de la Revista: | Computational Statistics |
| Volumen: | 37 |
| Número: | 2 |
| Editorial: | Springer Science and Business Media Deutschland GmbH |
| Fecha de publicación: | 2022 |
| Página final: | 907 |
| Idioma: | English |
| DOI: |
10.1007/s00180-021-01146-8 |
| Notas: | ISI, SCOPUS |