Full Bayesian analysis for a class of jump-diffusion models

Details Full Bayesian analysis for a class of jump-diffusion models Full Bayesian analysis for a class of jump-diffusion models

2007-08-30

arxiv.org/abs/0708.4131v2

Statistics

Methodology

15 pages, 7 figures; real data analysis added

Scientific paper

10.1063/1.3039004

A new Bayesian significance test is adjusted for jump detection in a
diffusion process. This is an advantageous procedure for temporal data having
extreme valued outliers, like financial data, pluvial or tectonic forces
records and others.

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