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.
Tipologia: | Articolo su rivista |
Citazione: | Macci, C., & Petrella, L. (2006). Mixtures of conjugate prior distributions and large deviations for level crossing probabilities. SANKHYA, 68(1), 61-89. |
Lingua: | English |
Settore Scientifico Disciplinare: | Settore MAT/06 - Probabilita' e Statistica Matematica |
Revisione (peer review): | Sì, ma tipo non specificato |
Tipo: | Articolo |
Rilevanza: | Rilevanza internazionale |
Stato di pubblicazione: | Pubblicato |
Data di pubblicazione: | 2006 |
Titolo: | Mixtures of conjugate prior distributions and large deviations for level crossing probabilities |
Autori: | |
Autori: | Macci, C; Petrella, L |
Appare nelle tipologie: | 01 - Articolo su rivista |