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Inference for partially observed Riemannian Ornstein–Uhlenbeck diffusions of covariance matrices
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- المؤلفون: Bui, Mai Ngoc; Pokern, Yvo; Dellaportas, Petros
- المصدر:
Bernoulli: a journal of mathematical statistics and probability , 29 (4) pp. 2961-2986. (2023)
- الموضوع:
- نوع التسجيلة:
article in journal/newspaper
- اللغة:
English
- معلومة اضافية
- بيانات النشر:
Bernoulli Society for Mathematical Statistics and Probability
- الموضوع:
2023
- Collection:
University College London: UCL Discovery
- نبذة مختصرة :
We construct a generalization of the Ornstein–Uhlenbeck processes on the cone of covariance matrices endowed with the Log-Euclidean and the Affine-Invariant metrics. Our development exploits the Riemannian geometric structure of symmetric positive definite matrices viewed as a differential manifold. We then provide Bayesian inference for discretely observed diffusion processes of covariance matrices based on an MCMC algorithm built with the help of a novel diffusion bridge sampler accounting for the geometric structure. Our proposed algorithm is illustrated with a real data financial application.
- File Description:
text
- Relation:
https://discovery.ucl.ac.uk/id/eprint/10161285/1/Bui_Inference%20for%20partially%20observed%20Riemannian%20Orstein%20Uhlenbeck%20diffusion%20process.pdf; https://discovery.ucl.ac.uk/id/eprint/10161285/
- Rights:
open
- الرقم المعرف:
edsbas.194A5C22
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