Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion.
Mohamed MaamaAjay JasraHernando OmbaoPublished in: Stat. Comput. (2023)
Keyphrases
- stochastic differential equations
- partially observed
- fractional brownian motion
- random fields
- long range
- non stationary
- bayesian networks
- maximum a posteriori estimation
- fractal dimension
- financial markets
- maximum entropy
- markov random field
- brownian motion
- parameter estimation
- additive gaussian noise
- maximum likelihood
- conditional random fields
- stochastic processes
- distance measure