1 citations · 2 across the 3 of their papers we have counts for
3 papers
PDSim: A Shiny App for Simulating and Estimating Polynomial Diffusion Models in Commodity Futures
Peilun He, Nino Kordzakhia, Gareth W. Peters +1
PDSim is an R package that enables users to simulate commodity futures prices using the polynomial diffusion model introduced in Filipovic & Larsson (2016) through both a Shiny web…
Quantile Diffusions for Risk Analysis
Holly Brannelly, Andrea Macrina, Gareth W. Peters
We develop a novel approach for the construction of quantile processes governing the stochastic dynamics of quantiles in continuous time. Two classes of quantile diffusions are ide…
Parameter Estimation for Hidden Markov Models with Intractable Likelihoods
Thomas A. Dean, Sumeetpal S. Singh, Ajay Jasra +1
Approximate Bayesian computation (ABC) is a popular technique for approximating likelihoods and is often used in parameter estimation when the likelihood functions are analytically…