Full Bayesian Analysis for a Class of Jump-Diffusion Models
نویسندگان
چکیده
منابع مشابه
Full Bayesian Analysis for a Class of Jump-Diffusion Models
A new Bayesian significance test is adjusted for jump detection in a diffusion process. This is an advantageous procedure for temporal data having extreme valued outliers, like financial data, pluvial or tectonic forces records and others.
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Consistency Problems for Jump-Diffusion Models
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ژورنال
عنوان ژورنال: Communications in Statistics - Theory and Methods
سال: 2009
ISSN: 0361-0926,1532-415X
DOI: 10.1080/03610920802395694