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math.ST2018
Bayesian Approach for Parameter Estimation of Continuous-Time Stochastic Volatility Models using Fourier Transform Methods
Milan Merkle, Yuri F. Saporito, Rodrigo S. Targino
We propose a two stage procedure for the estimation of the parameters of a fairly general, continuous-time stochastic volatility. An important ingredient of the proposed method is…
cs.DS2018
Approximate Calculation of Tukey's Depth and Median With High-dimensional Data
Milica Bogićević, Milan Merkle
We present a new fast approximate algorithm for Tukey (halfspace) depth level sets and its implementation-ABCDepth. Given a -dimensional data set for any , the algorith…