Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (II): Model Selection

Hu, GX; Kuipers, DR; Zeng, Y

Hu, GX (reprint author), Univ Hong Kong, Sch Econ & Finance, Hong Kong, Hong Kong, Peoples R China.

SIAM-ASA JOURNAL ON UNCERTAINTY QUANTIFICATION, 2018; 6 (1): 61

Abstract

For the general partially observed framework of Markov processes with marked point process observations proposed in [G. X. Hu, D. R. Kuipers, and Y. Z......

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