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Type: Artigo de periódico
Title: Full Bayesian Analysis for a Class of Jump-Diffusion Models
Author: Rifo, L
Torres, S
Abstract: The Full Bayesian Significance Test (FBST) is adjusted for jump detection in a diffusion process. Under a natural parameterization, pure diffusion can be seen as a precise hypothesis. The evidence measure defined by FBST deals with absolutely continuous posterior distributions, when posterior rates for precise hypotheses are not appropriate. Applications to simulated and real data are shown.
Subject: Full Bayesian significance test
Jump-diffusion process
Country: EUA
Editor: Taylor & Francis Inc
Citation: Communications In Statistics-theory And Methods. Taylor & Francis Inc, v. 38, n. 8, n. 1262, n. 1271, 2009.
Rights: fechado
Identifier DOI: 10.1080/03610920802395694
Date Issue: 2009
Appears in Collections:Unicamp - Artigos e Outros Documentos

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