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  Far East Journal of Theoretical Statistics  
 ISSN: 0972-0863
 
 
 

     Far East Journal of Theoretical Statistics
    Volume 24, Issue 2, Pages 213 - 221 (March 2008)


STATISTICAL CALIBRATION BETWEEN PARTIAL INFORMATION SYSTEMS

Jianhui Huang (Canada)

Received October 23, 2007

References:



[1] K. Back, Partial and asymmetric information, Lecture Notes in CIME-EMS, 2003.

[2] D. Duffie and D. Lando, Term structures of credit spreads with incomplete accounting information, Econometrica 69(3) (2001), 633-664.

[3] S. N. Ethier and T. G. Kurtz, Markov Processes: Characterization and Convergence, Wiley, New York, 1986.

[4] R. Frey and W. J. Runggaldier, Credit risk and incomplete information: a nonlinear-filtering approach, 2007 (preprint).

[5] M. Fujisaki, G. Kallianpur and H. Kunita, Stochastic differential equations for the nonlinear filtering problem, Osaka J. Math. 9 (1972), 19-40.

[6] H. Jeffreys, Theory of Probability, Oxford University, London, 1961.

[7] T. Kailath and H. V. Poor, Detection of stochastic process, IEEE Trans. Inform. Theory 44 (1998), 2230-2259.

[8] G. Kallianpur, Stochastic Filtering Theory, Springer-Verlag, Heidelberg, 1980.

[9] R. E. Kass and A. E. Raftery, Bayes factor and model uncertainty, J. Amer. Statist. Assoc. 90 (1995), 773-795.

[10] M. A. Kouritzin and Y. Zeng, Bayesian model selection via filtering for a class of micro-movement models of asset price, Internat. J. Theo. Appl. Finance 8 (2005), 97-121.

[11] N. G. Polson and G. O. Roberts, Bayes factors for discrete observations from diffusion processes, Biometrika 81 (1994), 11-26.

[12] G. O. Roberts and O. Stramer, On inference for partially observed nonlinear diffusion methods using the Methopolis-Hasting algorithm, Biometrika 88 (2001), 603-621.

[13] D. W. Stroock and S. R. S. Varadhan, Multidimensional Diffusion Processes, Springer, Berlin, 1979.

[14] M. Zakai, On the optimal filtering of diffusion processes, Z. Wahrschein. Verw. Geb. 11 (1969), 230-243.

Keywords and phrases: additive white noise, Bayes factor, filter ratio, partial information system, statistical calibration.

 


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