Estimation of hyperbolic diffusion using Markov chain Monte Carlo method
In this paper we propose a Bayesian method to estimate the hyperbolic diffusion model. The approach is based on the Markov chain Monte Carlo (MCMC) method with the likelihood of the discretized process as the approximate posterior likelihood. We demonstrate that the MCMC method Provides a useful too...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2004
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/518 https://ink.library.smu.edu.sg/context/soe_research/article/1517/viewcontent/YuQF.pdf |
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| Institution: | Singapore Management University |
| Language: | English |