Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation

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): 34

Abstract

We propose a general partially observed framework of Markov processes with marked point process observations for ultrahigh frequency (UHF) data. The m......

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