A list (quite disorganized for now) of papers tackling the Bayesian estimation of Ito processes (and their discrete time version)
☆15Jul 10, 2020Updated 6 years ago
Alternatives and similar repositories for MCMC-estimation-of-Stochastic-Differential-Equations-Papers
Users that are interested in MCMC-estimation-of-Stochastic-Differential-Equations-Papers are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods☆13Nov 29, 2017Updated 8 years ago
- Analysis of speculative/bubble-like behaviour using LPPL model (exponential accelerations with oscillations). Fitted to Bitcoin data. Sub…☆10Jun 5, 2020Updated 6 years ago
- Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"☆28Apr 1, 2019Updated 7 years ago
- ☆11Mar 16, 2022Updated 4 years ago
- Code that replicates the Bayesian Compressed Vector Autoregressive (BCVAR) model in Koop, G., Korobilis, D. and Pettenuzzo, D. (2019). “B…☆10Jun 6, 2021Updated 5 years ago
- End-to-end encrypted cloud storage - Proton Drive • AdSpecial offer: 40% Off Yearly / 80% Off First Month. Protect your most important files, photos, and documents from prying eyes.
- The asymptotic normal distribution properties☆16Mar 24, 2018Updated 8 years ago
- The effect of copulas on time-variant reliability involving time-continuous stochastic processes☆11Mar 8, 2017Updated 9 years ago
- Expected Shortfall Backtesting☆13Sep 3, 2023Updated 3 years ago
- Numerical experiments with stochastic differential equations☆21Dec 21, 2018Updated 7 years ago
- An R package for symbolic and numerical computations on scalar and multivariate systems of stochastic differential equations (SDEs). It p…☆14Mar 5, 2024Updated 2 years ago
- Quantum Computing for Finance☆19Apr 15, 2026Updated 6 months ago
- A Julia package for manipulating data in the Riemannian Manifold of Positive Definite Matrices