Bayesian inference for fractional Oscillating Brownian motion

被引：2

作者：

Araya, Hector ^{[1
]}

Slaoui, Meryem ^{[2
]}

Torres, Soledad ^{[3
]}

机构：

[1] Univ Valparaiso, Fac Ciencias, Inst Estadist, Valparaiso, Chile

[2] Univ Lille, Lab Paul Painleve, F-59655 Villeneuve Dascq, France

[3] Univ Valparaiso, Fac Ingn, CIMFAV, Valparaiso, Chile

来源：

COMPUTATIONAL STATISTICS | 2022年 / 37卷 / 02期

关键词：

Parameter estimation; Bayesian method; MCMC; ABC; Discontinuous diffusion; Fractional Brownian motion; COMPUTATION;

D O I：

10.1007/s00180-021-01146-8

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：887 / 907

页数：21

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