A Simulation-Based Study on Bayesian Estimators for the Skew Brownian Motion
In analyzing a temporal data set from a continuous variable, diffusion processes can be suitable under certain conditions, depending on the distribution of increments. We are interested in processes where a semi-permeable barrier splits the state space, producing a skewed diffusion that can have dif...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2016-06-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1099-4300/18/7/241 |