Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第39回ISCIE「確率システム理論と応用」国際シンポジウム(2007年11月, 佐賀)
Bayesian Analysis of Compound Poisson Process and its Application to Financial Data
Masatoshi FujisakiDewei Zhang
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2008 年 2008 巻 p. 97-102

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抄録
We consider jump diffusion processes with compound Poisson process whose jump range has normal distribution or double exponential distribution and also their Bernoulli approximations. In this paper, we shall estimate the parameters of these models by using MCMC-based Bayes formula. As an application, we shall make model selection with respect to Nikkei financial data in virtue of the EIC-criterion.
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© 2008 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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