Bayesian Parameter Inference for Partially Observed Stochastic Volterra Equations

In this article we consider Bayesian parameter inference for a type of partially observed stochastic Volterra equation (SVE). SVEs are found in many areas such as physics and mathematical finance. In the latter field they can be used to represent long memory in unobserved volatility processes. In ma...

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Hauptverfasser:	Jasra, Ajay, Ruzayqat, Hamza, Wu, Amin
Format:	Artikel
Sprache:	eng
Schlagworte:	Statistics - Computation Statistics - Methodology
Online-Zugang:	Volltext bestellen
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