Statistical inference for fractional diffusion processes

BLSP Rao - 2011 - books.google.com
Stochastic processes are widely used for model building in the social, physical, engineering
and life sciences as well as in financial economics. In model building, statistical inference for …

Springer Series in Statistics

P Bickel, P Diggle, S Fienberg, K Krickeberg - 2003 - Springer
This book has grown out of several courses that we have given over the years at Purdue
University, Michigan State University and the Indian Statistical Institute on Bayesian …

[图书][B] An introduction to Bayesian analysis: theory and methods

JK Ghosh, M Delampady, T Samanta - 2007 - books.google.com
This is a graduate-level textbook on Bayesian analysis blending modern Bayesian theory,
methods, and applications. Starting from basic statistics, undergraduate calculus and linear …

[图书][B] Parameter estimation in stochastic differential equations

JPN Bishwal - 2007 - books.google.com
Parameter estimation in stochastic differential equations and stochastic partial differential
equations is the science, art and technology of modelling complex phenomena and making …

Robust Bayesian inference for set‐identified models

R Giacomini, T Kitagawa - Econometrica, 2021 - Wiley Online Library
This paper reconciles the asymptotic disagreement between Bayesian and frequentist
inference in set‐identified models by adopting a multiple‐prior (robust) Bayesian approach …

Asymptotic normality, concentration, and coverage of generalized posteriors

JW Miller - Journal of Machine Learning Research, 2021 - jmlr.org
Generalized likelihoods are commonly used to obtain consistent estimators with attractive
computational and robustness properties. Formally, any generalized likelihood can be used …

[图书][B] Parameter estimation in stochastic volatility models

JPN Bishwal - 2022 - Springer
In this book, we study stochastic volatility models and methods of pricing, hedging, and
estimation. Among models, we will study models with heavy tails and long memory or long …

Asymptotic theory of extimation when the limit of the log-likelihood ratios is mixed normal

P Jeganathan - 1980 - search.proquest.com
In one of his fundamental papers Le Can (1960) introduced what is now called locally
asymptotically normal (LAN) families of distributions and obtained several basic results …

Probe thermometry with continuous measurements

J Boeyens, B Annby-Andersson… - New Journal of …, 2023 - iopscience.iop.org
Temperature estimation plays a vital role across natural sciences. A standard approach is
provided by probe thermometry, where a probe is brought into contact with the sample and …

[HTML][HTML] High dimensional Bernstein-von Mises: simple examples

IM Johnstone - Institute of Mathematical Statistics collections, 2010 - ncbi.nlm.nih.gov
In Gaussian sequence models with Gaussian priors, we develop some simple examples to
illustrate three perspectives on matching of posterior and frequentist probabilities when the …