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Bayesian inference in continuous time jump processes

Godsill, S (University of Cambridge)
Thursday 16 January 2014, 13:30-14:15

Seminar Room 1, Newton Institute


In this talk I will discuss recent advances in inference for continuous time processes with random changepoints or jumps. I will discuss cases with finite numbers of jumps, modelled within a jump-diffusion or piecewise deterministic processed framework, then go on to describe processes with almost surely infinite numbers of jumps on finite intervals, focussing on recent developments for alpha-stable Levy processes. Methodology is Bayesian, using computational methods related to Markov chain Monte Carlo and particle filtering.


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