Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models

Nonlinear Analysis, Theory, Methods and Applications

Volumn 63, Issue 5-7, 2005, Pages

  Thompson, Bevan ^a   Vladimirov, Igor ^a  

^a UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

Bayesian prediction; Conjugate prior; Stochastic differential equation

Indexed keywords

PARAMETER ESTIMATION; PROBLEM SOLVING; PROCESS CONTROL;

CONJUGATE PRIOR; DIFFUSION COEFFICIENTS;

STOCHASTIC CONTROL SYSTEMS;

EID: 28044448508     PISSN: 0362546X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.na.2005.02.095     Document Type: Conference Paper

References (13)

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12. I. Vladimirov, H.B. Thompson, A scalarization technique for computing the power and exponential moments of Gaussian random matrices, submitted for publication.
13. I. Vladimirov, H.B. Thompson, Bayesian forecasting in univariate autoregression models with normal-gamma prior distribution of unknown parameters, submitted for publication.