Bayesian inference for fractional Oscillating Brownian motion

Héctor Araya (), Meryem Slaoui () and Soledad Torres ()
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Héctor Araya: Universidad de Valparaíso
Meryem Slaoui: Université de Lille
Soledad Torres: Universidad de Valparaíso

Computational Statistics, 2022, vol. 37, issue 2, No 15, 887-907

Abstract: Abstract This paper deals with the problem of parameter estimation in a class of stochastic differential equations driven by a fractional Brownian motion with $$H \ge 1/2$$ H ≥ 1 / 2 and a discontinuous coefficient in the diffusion. Two Bayesian type estimators are proposed for the diffusion parameters based on Markov Chain Monte Carlo and Approximate Bayesian Computation methods.

Keywords: Parameter estimation; Bayesian method; MCMC; ABC; Discontinuous diffusion; Fractional Brownian motion (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00180-021-01146-8

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