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math.ST2017★ 1 cited
Bayesian inference for Stable Levy driven Stochastic Differential Equations with high-frequency data
Ajay Jasra, Kengo Kamatani, Hiroki Masuda
In this article we consider parametric Bayesian inference for stochastic differential equations (SDE) driven by a pure-jump stable Levy process, which is observed at high frequency…
math.ST2011★ 1 cited
Weak consistency of Markov chain Monte Carlo methods
Kengo Kamatani
Markov chain Monte Calro methods (MCMC) are commonly used in Bayesian statistics. In the last twenty years, many results have been established for the calculation of the exact conv…