Full Bayesian analysis for a class of jump-diffusion models

Full Bayesian analysis for a class of jump-diffusion models

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.

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Bibliographische Detailangaben
Veröffentlicht in:arXiv.org 2008-02
Hauptverfasser: Rifo, Laura L R, Torres, Soledad
Format: Artikel
Sprache:eng
Schlagworte:
Bayesian analysis
Data analysis
Extreme values
Outliers (statistics)
Statistics - Methodology
Tectonics
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Beschreibung
Zusammenfassung: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.
ISSN:2331-8422
DOI:10.48550/arxiv.0708.4131