Sincerely,
Jeffrey Todd Lins Executive Director Quantitative Analysis Saxo Bank A/S (Sent from my BlackBerry) ----- Original Message ----- From: [EMAIL PROTECTED] <[EMAIL PROTECTED]> To: r-help <[EMAIL PROTECTED]>; [EMAIL PROTECTED] <[EMAIL PROTECTED]> Sent: Wed Apr 02 06:49:54 2008 Subject: [R-SIG-Finance] Bayesian estimation of jump-diffusion processes andself-exciting counting processes Hi all, Could anybody give me some pointers to estimation of jump-diffusion and self-exciting processes(or more generally, counting processes with stochastic intensity, such as doubly stochastic processes, Cox processes, Hawkes processes) using the Bayesian approach, esp. using MCMC and BUGS, or more generally, how to estimate a state-space model that contains both diffusion processes and jump or self-exciting processes using Bayesian MCMC and BUGS(both in continuous time and in discrete time). I've seen demonstration in BUGS for simple state-space models, with diffusion processes. But I am having a lot of difficulty finding literature and programs for using BUGS for state-space models involving self-exciting counting processes with stochastic intensities. Please give me some pointers! Thank you very much! -M _______________________________________________ [EMAIL PROTECTED] mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. -- If you want to post, subscribe first. This email may contain confidential and/or privileged information. If you are not the intended recipient (or have received this email by mistake), please notify the sender immediately and destroy this email. Any unauthorised copying, disclosure or distribution of the material in this email is strictly prohibited. Email transmission security and error-free status cannot be guaranteed as information could be intercepted, corrupted, destroyed, delayed, incomplete, or contain viruses. The sender therefore does not accept liability for any errors or omissions in the contents of this message which may arise as a result of email transmission. ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
