Reversible jump MCMC for nonparametric drift estimation for diffusion processes
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Year
: 2014DOI: 10.1016/j.csda.2013.03.002
Keyword(s): Reversible jump Markov chain Monte Carlo,Discretely observed diffusion process,Data augmentation,Nonparametric Bayesian inference,Multiplicative scaling parameter,Series prior
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Reversible jump MCMC for nonparametric drift estimation for diffusion processes
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| date accessioned | 2020-03-11T15:43:37Z | |
| date available | 2020-03-11T15:43:37Z | |
| date issued | 2014 | |
| identifier issn | 0167-9473 | |
| identifier uri | https://libsearch.um.ac.ir:443/fum/handle/fum/582924 | |
| format | general | |
| language | English | |
| publisher | Elsevier Science | |
| title | Reversible jump MCMC for nonparametric drift estimation for diffusion processes | |
| type | Journal Paper | |
| contenttype | Metadata Only | |
| identifier padid | 4443216 | |
| subject keywords | Reversible jump Markov chain Monte Carlo | |
| subject keywords | Discretely observed diffusion process | |
| subject keywords | Data augmentation | |
| subject keywords | Nonparametric Bayesian inference | |
| subject keywords | Multiplicative scaling parameter | |
| subject keywords | Series prior | |
| identifier doi | 10.1016/j.csda.2013.03.002 | |
| journal title | Computational Statistics & Data Analysis | |
| journal volume | 71 | |
| journal issue | 0 | |
| filesize | 3544833 | |
| citations | 0 | |
| contributor rawauthor | van der Meulen, Frank - Schauer, Moritz - van Zanten, Harry |