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}
}
  • Ajay Jasra, K. Kamatani, Hiroki Masuda
  • Published 2017
  • Mathematics
  • arXiv: Statistics Theory
  • 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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