Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation

1 August 2010

Papers citing "Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation"

5 / 5 papers shown

Title
Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model G. Peters B. Kannan B. Lasscock C. Mellen 81 11 0 22 Apr 2010
Chain ladder method: Bayesian bootstrap versus classical bootstrap G. Peters Mario V. Wuthrich P. Shevchenko 50 40 0 15 Apr 2010
Constructing Summary Statistics for Approximate Bayesian Computation: Semi-automatic ABC Paul Fearnhead D. Prangle 73 87 0 07 Apr 2010
Approximate Bayesian computation scheme for parameter inference and model selection in dynamical systems Tina Toni David Welch N. Strelkowa Andreas Ipsen M. Stumpf 181 1,542 0 14 Jan 2009
On sequential Monte Carlo, partial rejection control and approximate Bayesian computation G. Peters Yanan Fan Scott A. Sisson 82 71 0 26 Aug 2008