Algunas técnicas generales en inferencia bayesiana para procesos de difusión
- Kessler, Mathieu
- Cano Sánchez, Juan Antonio
Publisher: Deputación Provincial de Pontevedra ; Concello de Vigo = Ayuntamiento de Vigo ; Servizo de Publicacións ; Universidade de Vigo
ISBN: 84-8158-152-6
Year of publication: 2000
Pages: 341-342
Congress: Congreso Nacional de Estadística e Investigación Operativa (25. 2000. Vigo)
Type: Conference paper
Abstract
This paper deals with the problem of Bayesian inference for diffusion processes. The main technical problem in this context is that the transition density is not tractable from a computational point of view. For it, We propose two Euler scheme based approximations to the transition density and study the goodness of the approximated posterior density.