On the asymptotic stability of the intrinsic and fractional Bayes factors for testing some diffusion models

Annals of the Institute of Statistical Mathematics

Volumn 54, Issue 3, 2002, Pages 500-516

  Sivaganesan, S ^a   Lingham, Rama T ^b  

^a UNIVERSITY OF CINCINNATI   (United States)

^b NORTHERN ILLINOIS UNIVERSITY   (United States)

Author keywords

Fractional Bayes factor; Girsanov formula; Intrinsic Bayes factor; Jeffreys prior; Local asymptotic normality; Mean reversion; Wiener process

Indexed keywords

BROWNIAN MOVEMENT; CONVERGENCE OF NUMERICAL METHODS; FINANCE; GENETIC ENGINEERING; MATHEMATICAL MODELS; MATHEMATICAL TRANSFORMATIONS; STATISTICAL TESTS;

DIFFUSION MODELS; FRACTIONAL BAYES FACTOR; GIRSANOV FORMULA; INTRINSIC BAYES FACTOR; JEFFREYS PRIOR; LOCAL ASYMPTOTIC NORMALITY; MEAN CONVERSION; WEINER PROCESS;

ASYMPTOTIC STABILITY;

EID: 12244306903     PISSN: 00203157     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1022402925337     Document Type: Article

References (11)

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