Bayesian Estimation of the Skew Ornstein-Uhlenbeck Process
Yizhou Bai, Yongjin Wang, Haoyan Zhang, Xiaoyang Zhuo
| Year of publication: |
2022
|
|---|---|
| Authors: | Bai, Yizhou ; Wang, Yongjin ; Zhang, Haoyan ; Zhuo, Xiaoyang |
| Subject: | Bayesian estimation | Doubly skewed OU process | Gibbs sampler | Skew OU process | Bayes-Statistik | Bayesian inference | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Schätzung | Estimation | Volatilität | Volatility | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-021-10156-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013380789