@article{484f1902648b4cc5abfa86f09628d60b,
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 = "Funding Information: This research was partially supported by Project ECOS - CONICYT C15E05, REDES 150038 and MATHAMSUD 19-MATH-06 SARC. H{\'e}ctor Araya was partially supported by Proyecto FONDECYT Post-Doctorado 3190465, Soledad Torres was partially supported by FONDECYT Grant 1171335. Publisher Copyright: {\textcopyright} 2021, The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature.",
year = "2022",
month = apr,
doi = "10.1007/s00180-021-01146-8",
language = "English",
volume = "37",
pages = "887--907",
journal = "Computational Statistics",
issn = "0943-4062",
publisher = "Springer Verlag",
number = "2",
}