Full Bayesian significance test for a class of jump-diffusion models
Abstract
A new Bayesian significance test is adjusted for jump detection in a diffusion process. This is an advantageous procedure for temporal data having extreme valued outliers, like financial data, pluvial or tectonic forces records and others. Applications to simulated and real data are shown.
- Publication:
-
Bayesian Inference and Maximum Entropy Methods in Science and Engineering
- Pub Date:
- November 2008
- DOI:
- arXiv:
- arXiv:0708.4131
- Bibcode:
- 2008AIPC.1073..232R
- Keywords:
-
- 07.05.Kf;
- 91.45.-c;
- 05.40.Jc;
- Data analysis: algorithms and implementation;
- data management;
- Tectonophysics;
- Brownian motion;
- Statistics - Methodology
- E-Print:
- 15 pages, 7 figures