[R-SIG-Finance] Bayesian estimation of jump-diffusion processes and self-exciting counting processes

Michael comtech.usa at gmail.com
Wed Apr 2 08:49:54 CEST 2008

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!


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