Full Bayesian analysis for a class of jump-diffusion models
Methodology
2009-11-13 v2
Abstract
A new Bayesian significance test is adjusted for jump detection in a diffusion process. This is an advantageous procedure for temporal data having extreme valued outliers, like financial data, pluvial or tectonic forces records and others.
Keywords
Cite
@article{arxiv.0708.4131,
title = {Full Bayesian analysis for a class of jump-diffusion models},
author = {Laura L. R. Rifo and Soledad Torres},
journal= {arXiv preprint arXiv:0708.4131},
year = {2009}
}
Comments
15 pages, 7 figures; real data analysis added