On Bayesian analysis of nonlinear continuous‐time autoregression models

O. Stramer and G. O. Roberts

Journal of Time Series Analysis, 2007, vol. 28, issue 5, 744-762

Abstract: Abstract. This article introduces a method for performing fully Bayesian inference for nonlinear conditional autoregressive continuous‐time models, based on a finite skeleton of observations. Our approach uses Markov chain Monte Carlo and involves imputing data from times at which observations are not made. It uses a reparameterization technique for the missing data, and because of the non‐Markovian nature of the models, it is necessary to adopt an overlapping blocks scheme for sequentially updating segments of missing data. We illustrate the methodology using both simulated data and a data set from the S & P 500 index.

Date: 2007
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https://doi.org/10.1111/j.1467-9892.2007.00549.x

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