Full Bayesian significance test for a class of jump-diffusion models

被引：0

作者：

Rifo, Laura L. R. ^{[1
]}

Torres, Soledad ^{[1
]}

机构：

[1] Univ Estadual Campinas, Inst Matemat & Estat, BR-13081970 Campinas, SP, Brazil

来源：

BAYESIAN INFERENCE AND MAXIMUM ENTROPY METHODS IN SCIENCE AND ENGINEERING | 2008年 / 1073卷

关键词：

full Bayesian significance test; jump-diffusion process;

D O I：

暂无

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. Applications to simulated and real data are shown.

引用

页码：232 / +

页数：2

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