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andel
2008 Apr 02
0
[R-SIG-Finance] Bayesian estimation of jump-diffusion processes andself-exciting counting processes
...stat.math.ethz.ch <r-sig-finance-bounces at stat.math.ethz.ch>
To: r-help <R-help at stat.math.ethz.ch>; r-sig-finance at stat.math.ethz.ch <r-sig-finance at stat.math.ethz.ch>
Sent: Wed Apr 02 06:49:54 2008
Subject: [R-SIG-Finance] Bayesian estimation of jump-diffusion processes andself-exciting counting processes
Hi all,
Could anybody give me some pointers to estimation of jump-diffusion
and self-exciting processes(or more generally, counting processes with
stochastic intensity, such as doubly stochastic processes, Cox
processes, Hawkes processes) using the Bayesian approach, e...