In this paper we present asymptotic estimates of level crossing probabilities from a Bayesian point of view, based on large deviations. For the Bayesian analysis we choose a finite mixture of conjugate prior distributions to model the uncertainty on the unknown parameters of the two classes of stochastic processes considered: the Brownian motion and the compound Poisson process with upward jumps and negative drift. The estimates of level crossing probabilities are derived as a consequence of large deviation principles for posterior distributions.

Macci, C., & Petrella, L. (2006). Mixtures of conjugate prior distributions and large deviations for level crossing probabilities. SANKHYA, 68(1), 61-89.

Mixtures of conjugate prior distributions and large deviations for level crossing probabilities

MACCI, CLAUDIO;
2006

Abstract

In this paper we present asymptotic estimates of level crossing probabilities from a Bayesian point of view, based on large deviations. For the Bayesian analysis we choose a finite mixture of conjugate prior distributions to model the uncertainty on the unknown parameters of the two classes of stochastic processes considered: the Brownian motion and the compound Poisson process with upward jumps and negative drift. The estimates of level crossing probabilities are derived as a consequence of large deviation principles for posterior distributions.
Pubblicato
Rilevanza internazionale
Articolo
Sì, ma tipo non specificato
Settore MAT/06 - Probabilita' e Statistica Matematica
English
Bayes asymptotics; Large deviations; Level crossing probabilities; Mixture of conjugate families
Macci, C., & Petrella, L. (2006). Mixtures of conjugate prior distributions and large deviations for level crossing probabilities. SANKHYA, 68(1), 61-89.
Macci, C; Petrella, L
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2108/39279
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