Fast Bayesian inference of the multivariate Ornstein-Uhlenbeck process
نویسندگان
چکیده
منابع مشابه
Multivariate Generalized Ornstein-Uhlenbeck Processes
De Haan and Karandikar [12] introduced generalized Ornstein–Uhlenbeck processes as one-dimensional processes (Vt)t≥0 which are basically characterized by the fact that for each h > 0 the equidistantly sampled process (Vnh)n∈N0 satisfies the random recurrence equation Vnh = A(n−1)h,nhV(n−1)h + B(n−1)h,nh, n ∈ N, where (A(n−1)h,nh, B(n−1)h,nh)n∈N is an i.i.d. sequence with positive A0,h for each ...
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ژورنال
عنوان ژورنال: Physical Review E
سال: 2018
ISSN: 2470-0045,2470-0053
DOI: 10.1103/physreve.98.012136