Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models-Reference-Cited by-同舟云学术

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Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models

Published:2005-11 Issue:5-7 Volume:63 Page:e2367-e2375
ISSN:0362-546X
Container-title:Nonlinear Analysis: Theory, Methods & Applications
language:en
Short-container-title:Nonlinear Analysis: Theory, Methods & Applications

Author:

Thompson Bevan,Vladimirov Igor

Publisher

Elsevier BV

Subject

Applied Mathematics,Analysis

Reference13 articles.

1. Estimation of the parameters of a stationary Gaussian Markov process;Arato;Dokl. Akad. Nauk SSSR,1962

2. Calculation of confidence bounds for the damping parameter of a complex stationary Gaussian Markov process;Arato;Theory Probab. Appl.,1968

3. On parameter estimation of a complex stationary Gaussian Markov process;Arato;Dokl. Akad. Nauk SSSR,1962

4. Bayesian Theory;Bernardo,1994

5. Nonlinear filtering of Markov diffusion processes;Liptser;Trudy Mat. Inst. Steklov,1968

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