Nonparametric Bayesian inference for Gamma-type Lévy subordinators
Journal article, 2019
Data augmentation
Posterior consistency
Levy process
Bridge sampling
Metropolis-Hastings algorithm
theta-subordinator
Nonparametric Bayesian estimation
Gamma process
Subordinator
Levy density
MCMC
Reversible jump MCMC
Author
Denis Belomestny
University of Duisburg-Essen
National Research University Higher School of Economics
Shota Gugushvili
Wageningen University and Research
Moritz Schauer
University of Gothenburg
Chalmers, Mathematical Sciences, Applied Mathematics and Statistics
Peter Spreij
University of Amsterdam
Radboud University
Communications in Mathematical Sciences
1539-6746 (ISSN) 19450796 (eISSN)
Vol. 17 3 781-816Subject Categories
Mathematics
DOI
10.4310/CMS.2019.v17.n3.a8