Displaying similar documents to “A recursive robust Bayesian estimation in partially observed financial market”

Beliefs about beliefs: Discussion.

Morris H. DeGroot, Melvin R. Novick, Seymour Geisser, Tom Leonard, Dennis V. Lindley (1980)

Trabajos de Estadística e Investigación Operativa

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Discussion on the papers by Dickey, James M., Beliefs about beliefs, a theory for stochastic assessment of subjective probabilities and by Good, Irving John, Some history of the hierarchical Bayesian methodology, both of them part of a round table on Beliefs about beliefs held in the First International Congress on Bayesian Methods (Valencia, Spain, 28 May - 2 June 1979).

Robust recursive estimation of GARCH models

Tomáš Cipra, Radek Hendrych (2018)

Kybernetika

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The robust recursive algorithm for the parameter estimation and the volatility prediction in GARCH models is suggested. It seems to be useful for various financial time series, in particular for (high-frequency) log returns contaminated by additive outliers. The proposed procedure can be effective in the risk control and regulation when the prediction of volatility is the main concern since it is capable to distinguish and correct outlaid bursts of volatility. This conclusion is demonstrated...

Approximation of unsupervised Bayes learning procedures.

Udi E. Makov (1980)

Trabajos de Estadística e Investigación Operativa

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Computational constraints often limit the practical applicability of coherent Bayes solutions to unsupervised sequential learning problems. These problems arise when attemps are made to learn about parameters on the basis of unclassified observations., each stemming from any one of k cases (k ≥ 2). In this paper, the difficulties of the Bayes process will be discussed and existing approximate learning procedures will be reviewed for broad types of problems involving mixtures...

A comparison of deterministic and Bayesian inverse with application in micromechanics

Radim Blaheta, Michal Béreš, Simona Domesová, Pengzhi Pan (2018)

Applications of Mathematics

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The paper deals with formulation and numerical solution of problems of identification of material parameters for continuum mechanics problems in domains with heterogeneous microstructure. Due to a restricted number of measurements of quantities related to physical processes, we assume additional information about the microstructure geometry provided by CT scan or similar analysis. The inverse problems use output least squares cost functionals with values obtained from averages of state...

Scaling of Stochasticity in Dengue Hemorrhagic Fever Epidemics

M. Aguiar, B.W. Kooi, J. Martins, N. Stollenwerk (2012)

Mathematical Modelling of Natural Phenomena

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In this paper we analyze the stochastic version of a minimalistic multi-strain model, which captures essential differences between primary and secondary infections in dengue fever epidemiology, and investigate the interplay between stochasticity, seasonality and import. The introduction of stochasticity is needed to explain the fluctuations observed in some of the available data sets, revealing a scenario where noise and complex deterministic...