NONPARAMETRIC BAYESIAN INFERENCE FOR GAMMA-TYPE LEVY SUBORDINATORS
Artikel i vetenskaplig tidskrift, 2019

Given discrete time observations over a growing time interval, we consider a nonparametric Bayesian approach to estimation of the Levy density of a Levy process belonging to a flexible class of infinite activity subordinators. Posterior inference is performed via MCMC, and we circumvent the problem of the intractable likelihood via the data augmentation device, that in our case relies on bridge process sampling via Gamma process bridges. Our approach also requires the use of a new infinite-dimensional form of a reversible jump MCMC algorithm. We show that our method leads to good practical results in challenging simulation examples. On the theoretical side, we establish that our nonparametric Bayesian procedure is consistent: in the low frequency data setting, with equispaced in time observations and intervals between successive observations remaining fixed, the posterior asymptotically, as the sample size n ->infinity, concentrates around the Levy density under which the data have been generated. Finally, we test our method on a classical insurance dataset.

Reversible jump MCMC

Levy process

Subordinator

Metropolis-Hastings algorithm

theta-subordinator

MCMC

Data augmentation

Bridge sampling

Nonparametric Bayesian estimation

Posterior consistency

Gamma process

Levy density

Författare

Denis Belomestny

Natl Res Univ

Duisburg Essen Univ

Shota Gugushvili

Wageningen University and Research

Moritz Schauer

Chalmers, Matematiska vetenskaper, Tillämpad matematik och statistik

Göteborgs universitet

Peter Spreij

Radboud Universiteit

Universiteit Van Amsterdam

Communications in Mathematical Sciences

1539-6746 (ISSN)

Vol. 17 3 781-816

Ämneskategorier

Matematik

DOI

10.4310/CMS.2019.v17.n3.a8

Mer information

Senast uppdaterat

2019-12-06