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Unbiased inference of parameter distributions for nonlinear models: The underdetermined case

โœ Scribed by Sven Zenker; Jonathan Rubin; Gilles Clermont

Book ID
113696781
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
79 KB
Volume
23
Category
Article
ISSN
0883-9441

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## Abstract In this paper, we describe a general method for constructing the posterior distribution of the mean and volatility of the return of an asset satisfying d__S__=__S__d__X__ for some simple models of __X__. Our framework takes as inputs the prior distributions of the parameters of the stoc