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

Producción científica: Contribución a una revista › Artículo › revisión exhaustiva

3 Citas (Scopus)

Resumen

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.

Idioma original	Inglés
Páginas (desde-hasta)	887-907
Número de páginas	21
Publicación	Computational Statistics
Volumen	37
N.º	2
DOI	https://doi.org/10.1007/s00180-021-01146-8
Estado	Publicada - abr 2022
Publicado de forma externa	Sí

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@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 = "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",

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T1 - Bayesian inference for fractional Oscillating Brownian motion

AU - Araya, Héctor

AU - Slaoui, Meryem

AU - Torres, Soledad

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Y1 - 2022/4

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

UR - https://www.scopus.com/pages/publications/85113825625

U2 - 10.1007/s00180-021-01146-8

DO - 10.1007/s00180-021-01146-8

M3 - Article

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JO - Computational Statistics

JF - Computational Statistics

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Bayesian inference for fractional Oscillating Brownian motion

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