Bayesian inference for fractional Oscillating Brownian motion

Héctor Araya; Meryem Slaoui; Soledad Torres

doi:10.1007/s00180-021-01146-8

Bayesian inference for fractional Oscillating Brownian motion

Héctor Araya, Meryem Slaoui, Soledad Torres

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	887-907
Number of pages	21
Journal	Computational Statistics
Volume	37
Issue number	2
DOIs	https://doi.org/10.1007/s00180-021-01146-8
State	Published - Apr 2022
Externally published	Yes

Keywords

ABC
Bayesian method
Discontinuous diffusion
Fractional Brownian motion
MCMC
Parameter estimation

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10.1007/s00180-021-01146-8

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title = "Bayesian inference for fractional Oscillating Brownian motion",

abstract = "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.",

keywords = "ABC, Bayesian method, Discontinuous diffusion, Fractional Brownian motion, MCMC, Parameter estimation",

author = "H{\'e}ctor Araya and Meryem Slaoui and Soledad Torres",

note = "Publisher Copyright: {\textcopyright} 2021, The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature.",

year = "2022",

month = apr,

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AU - Araya, Héctor

AU - Slaoui, Meryem

AU - Torres, Soledad

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N2 - 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.

AB - 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.

KW - ABC

KW - Bayesian method

KW - Discontinuous diffusion

KW - Fractional Brownian motion

KW - MCMC

KW - Parameter estimation

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VL - 37

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JO - Computational Statistics

JF - Computational Statistics

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Bayesian inference for fractional Oscillating Brownian motion

Abstract

Keywords

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