Bayesian Parameter Inference for Partially Observed SDEs driven by Fractional Brownian Motion.
Mohamed MaamaAjay JasraHernando OmbaoPublished in: CoRR (2022)
Keyphrases
- partially observed
- fractional brownian motion
- long range
- random fields
- non stationary
- bayesian networks
- bayesian inference
- long range dependence
- fractal dimension
- financial markets
- conditional random fields
- maximum likelihood
- probabilistic model
- maximum entropy
- parameter estimation
- long term
- multiresolution
- stochastic differential equations
- data mining