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Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes.
Jim E. Griffin
M. F. J. Steel
Published in:
Comput. Stat. Data Anal. (2010)
Keyphrases
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bayesian inference
probabilistic model
bayesian models
prior information
hyperparameters
stochastic processes
prior distribution
autoregressive
image segmentation
graphical models
model selection
parameter estimation