Full Bayesian Analysis for a Class of Jump-Diffusion Models

dc.creatorRifo, L
dc.creatorTorres, S
dc.date2009
dc.date2014-11-18T01:30:20Z
dc.date2015-11-26T16:48:49Z
dc.date2014-11-18T01:30:20Z
dc.date2015-11-26T16:48:49Z
dc.date.accessioned2018-03-28T23:35:21Z
dc.date.available2018-03-28T23:35:21Z
dc.identifierCommunications In Statistics-theory And Methods. Taylor & Francis Inc, v. 38, n. 8, n. 1262, n. 1271, 2009.
dc.identifier0361-0926
dc.identifierWOS:000264794500009
dc.identifier10.1080/03610920802395694
dc.identifierhttp://www.repositorio.unicamp.br/jspui/handle/REPOSIP/67245
dc.identifierhttp://www.repositorio.unicamp.br/handle/REPOSIP/67245
dc.identifierhttp://repositorio.unicamp.br/jspui/handle/REPOSIP/67245
dc.identifier.urihttp://repositorioslatinoamericanos.uchile.cl/handle/2250/1275263
dc.descriptionThe 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.
dc.description38
dc.description8
dc.description1262
dc.description1271
dc.descriptionFondecyt [1070918]
dc.descriptionPBCT/ACT [13]
dc.descriptionLaboratorio ANESTOC
dc.descriptionFondecyt [1070918]
dc.descriptionPBCT/ACT [13]
dc.languageen
dc.publisherTaylor & Francis Inc
dc.publisherPhiladelphia
dc.publisherEUA
dc.relationCommunications In Statistics-theory And Methods
dc.relationCommun. Stat.-Theory Methods
dc.rightsfechado
dc.rightshttp://journalauthors.tandf.co.uk/permissions/reusingOwnWork.asp
dc.sourceWeb of Science
dc.subjectFull Bayesian significance test
dc.subjectJump-diffusion process
dc.subjectTests
dc.titleFull Bayesian Analysis for a Class of Jump-Diffusion Models
dc.typeArtículos de revistas


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