# Bayesian inference for Stable Levy driven Stochastic Differential Equations with high-frequency data

@article{Jasra2017BayesianIF, title={Bayesian inference for Stable Levy driven Stochastic Differential Equations with high-frequency data}, author={Ajay Jasra and K. Kamatani and Hiroki Masuda}, journal={arXiv: Statistics Theory}, year={2017}, pages={545-574} }

In this article we consider parametric Bayesian inference for stochastic differential equations (SDE) driven by a pure-jump stable Levy process, which is observed at high frequency. In most cases of practical interest, the likelihood function is not available, so we use a quasi-likelihood and place an associated prior on the unknown parameters. It is shown under regularity conditions that there is a Bernstein-von Mises theorem associated to the posterior. We then develop a Markov chain Monte… CONTINUE READING

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## The Lévy State Space Model

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## The L\'evy State Space Model.

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