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math.PR2020
Rates of convergence for Gibbs sampling in the analysis of almost exchangeable data
Balázs Gerencsér, Andrea Ottolini
Motivated by de Finetti's representation theorem for almost exchangeable arrays, we want to sample from a distribution with density proportional to $\exp(-A…
math.PR2020
Invariant measures for multidimensional fractional stochastic volatility models
Balázs Gerencsér, Miklós Rásonyi
We establish convergence to an invariant measure as time tends to infinity, for a large class of (possibly non-Markovian) stochastic volatility models. Our arguments are based on a…