<> <http://www.w3.org/2000/01/rdf-schema#comment> "The repository administrator has not yet configured an RDF license."^^<http://www.w3.org/2001/XMLSchema#string> .
<> <http://xmlns.com/foaf/0.1/primaryTopic> <https://discovery.ucl.ac.uk/id/eprint/1474799> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://purl.org/ontology/bibo/AcademicArticle> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://purl.org/ontology/bibo/Article> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://purl.org/dc/terms/title> "Bayesian inference for partially observed stochastic differential equations driven by fractional Brownian motion"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://purl.org/ontology/bibo/abstract> "We consider continuous-time diffusion models driven by fractional Brownian motion.\r\nObservations are assumed to possess a nontrivial likelihood given the latent path. Due to the\r\nnon-Markovian and high-dimensional nature of the latent path, estimating posterior expectations\r\nis computationally challenging. We present a reparameterization framework based on the\r\nDavies and Harte method for sampling stationary Gaussian processes and use it to construct a\r\nMarkov chain Monte Carlo algorithm that allows computationally efficient Bayesian inference.\r\nThe algorithm is based on a version of hybrid Monte Carlo simulation that delivers increased\r\nefficiency when used on the high-dimensional latent variables arising in this context. We specify\r\nthe methodology on a stochastic volatility model, allowing for memory in the volatility increments\r\nthrough a fractional specification. The method is demonstrated on simulated data and on\r\nthe S&P 500/VIX time series. In the latter case, the posterior distribution favours values of the\r\nHurst parameter smaller than 1/2, pointing towards medium-range dependence."^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://purl.org/dc/terms/date> "2015-12" .
<https://discovery.ucl.ac.uk/id/document/197518> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://purl.org/ontology/bibo/Document> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://purl.org/ontology/bibo/volume> "102" .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://purl.org/ontology/bibo/issue> "4" .
<https://discovery.ucl.ac.uk/id/publication/ext-00063444> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://purl.org/ontology/bibo/Collection> .
<https://discovery.ucl.ac.uk/id/publication/ext-00063444> <http://xmlns.com/foaf/0.1/name> "Biometrika"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://purl.org/dc/terms/isPartOf> <https://discovery.ucl.ac.uk/id/publication/ext-00063444> .
<https://discovery.ucl.ac.uk/id/publication/ext-00063444> <http://www.w3.org/2002/07/owl#sameAs> <urn:issn:00063444> .
<https://discovery.ucl.ac.uk/id/publication/ext-00063444> <http://purl.org/ontology/bibo/issn> "00063444" .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://purl.org/ontology/bibo/status> <http://purl.org/ontology/bibo/status/published> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://purl.org/dc/terms/creator> <https://discovery.ucl.ac.uk/id/person/ext-c50159891d4c45f64b28ac06b970f56e> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://purl.org/ontology/bibo/authorList> <https://discovery.ucl.ac.uk/id/eprint/1474799#authors> .
<https://discovery.ucl.ac.uk/id/eprint/1474799#authors> <http://www.w3.org/1999/02/22-rdf-syntax-ns#_1> <https://discovery.ucl.ac.uk/id/person/ext-c50159891d4c45f64b28ac06b970f56e> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://purl.org/dc/terms/creator> <https://discovery.ucl.ac.uk/id/person/ext-fc2f647a4dd88045fae0241670e28227> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://purl.org/ontology/bibo/authorList> <https://discovery.ucl.ac.uk/id/eprint/1474799#authors> .
<https://discovery.ucl.ac.uk/id/eprint/1474799#authors> <http://www.w3.org/1999/02/22-rdf-syntax-ns#_2> <https://discovery.ucl.ac.uk/id/person/ext-fc2f647a4dd88045fae0241670e28227> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://purl.org/dc/terms/creator> <https://discovery.ucl.ac.uk/id/person/ext-b506c8b413b50d48d47fdca86011cae1> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://purl.org/ontology/bibo/authorList> <https://discovery.ucl.ac.uk/id/eprint/1474799#authors> .
<https://discovery.ucl.ac.uk/id/eprint/1474799#authors> <http://www.w3.org/1999/02/22-rdf-syntax-ns#_3> <https://discovery.ucl.ac.uk/id/person/ext-b506c8b413b50d48d47fdca86011cae1> .
<https://discovery.ucl.ac.uk/id/person/ext-b506c8b413b50d48d47fdca86011cae1> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://xmlns.com/foaf/0.1/Person> .
<https://discovery.ucl.ac.uk/id/person/ext-b506c8b413b50d48d47fdca86011cae1> <http://xmlns.com/foaf/0.1/givenName> "K"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/person/ext-b506c8b413b50d48d47fdca86011cae1> <http://xmlns.com/foaf/0.1/familyName> "Kalogeropoulos"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/person/ext-b506c8b413b50d48d47fdca86011cae1> <http://xmlns.com/foaf/0.1/name> "K Kalogeropoulos"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/person/ext-c50159891d4c45f64b28ac06b970f56e> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://xmlns.com/foaf/0.1/Person> .
<https://discovery.ucl.ac.uk/id/person/ext-c50159891d4c45f64b28ac06b970f56e> <http://xmlns.com/foaf/0.1/givenName> "A"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/person/ext-c50159891d4c45f64b28ac06b970f56e> <http://xmlns.com/foaf/0.1/familyName> "Beskos"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/person/ext-c50159891d4c45f64b28ac06b970f56e> <http://xmlns.com/foaf/0.1/name> "A Beskos"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/person/ext-fc2f647a4dd88045fae0241670e28227> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://xmlns.com/foaf/0.1/Person> .
<https://discovery.ucl.ac.uk/id/person/ext-fc2f647a4dd88045fae0241670e28227> <http://xmlns.com/foaf/0.1/givenName> "J"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/person/ext-fc2f647a4dd88045fae0241670e28227> <http://xmlns.com/foaf/0.1/familyName> "Dureau"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/person/ext-fc2f647a4dd88045fae0241670e28227> <http://xmlns.com/foaf/0.1/name> "J Dureau"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/EPrint> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/ArticleEPrint> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://purl.org/dc/terms/isPartOf> <https://discovery.ucl.ac.uk/id/repository> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/document/197518> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> .
<https://discovery.ucl.ac.uk/id/document/197518> <http://www.w3.org/2000/01/rdf-schema#label> "Bayesian inference for partially observed stochastic differential equations driven by fractional Brownian motion (Text)"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://purl.org/dc/elements/1.1/hasVersion> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://eprints.org/ontology/hasPublished> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/document/197518> <http://eprints.org/ontology/hasFile> <https://discovery.ucl.ac.uk/id/eprint/1474799/7/Beskos_1474799_Biometrika-2015-Beskos-809-27.pdf> .
<https://discovery.ucl.ac.uk/id/document/197518> <http://purl.org/dc/terms/hasPart> <https://discovery.ucl.ac.uk/id/eprint/1474799/7/Beskos_1474799_Biometrika-2015-Beskos-809-27.pdf> .
<https://discovery.ucl.ac.uk/id/eprint/1474799/7/Beskos_1474799_Biometrika-2015-Beskos-809-27.pdf> <http://www.w3.org/2000/01/rdf-schema#label> "Beskos_1474799_Biometrika-2015-Beskos-809-27.pdf"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/197519> .
<https://discovery.ucl.ac.uk/id/document/197519> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> .
<https://discovery.ucl.ac.uk/id/document/197519> <http://www.w3.org/2000/01/rdf-schema#label> "Bayesian inference for partially observed stochastic differential equations driven by fractional Brownian motion (Other)"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/document/197519> <http://eprints.org/relation/isVersionOf> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/document/197519> <http://eprints.org/relation/isVolatileVersionOf> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/document/197519> <http://eprints.org/relation/islightboxThumbnailVersionOf> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/197520> .
<https://discovery.ucl.ac.uk/id/document/197520> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> .
<https://discovery.ucl.ac.uk/id/document/197520> <http://www.w3.org/2000/01/rdf-schema#label> "Bayesian inference for partially observed stochastic differential equations driven by fractional Brownian motion (Other)"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/document/197520> <http://eprints.org/relation/isVersionOf> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/document/197520> <http://eprints.org/relation/isVolatileVersionOf> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/document/197520> <http://eprints.org/relation/ispreviewThumbnailVersionOf> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/197521> .
<https://discovery.ucl.ac.uk/id/document/197521> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> .
<https://discovery.ucl.ac.uk/id/document/197521> <http://www.w3.org/2000/01/rdf-schema#label> "Bayesian inference for partially observed stochastic differential equations driven by fractional Brownian motion (Other)"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/document/197521> <http://eprints.org/relation/isVersionOf> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/document/197521> <http://eprints.org/relation/isVolatileVersionOf> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/document/197521> <http://eprints.org/relation/ismediumThumbnailVersionOf> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/197522> .
<https://discovery.ucl.ac.uk/id/document/197522> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> .
<https://discovery.ucl.ac.uk/id/document/197522> <http://www.w3.org/2000/01/rdf-schema#label> "Bayesian inference for partially observed stochastic differential equations driven by fractional Brownian motion (Other)"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/document/197522> <http://eprints.org/relation/isVersionOf> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/document/197522> <http://eprints.org/relation/isVolatileVersionOf> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/document/197522> <http://eprints.org/relation/issmallThumbnailVersionOf> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/197523> .
<https://discovery.ucl.ac.uk/id/document/197523> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> .
<https://discovery.ucl.ac.uk/id/document/197523> <http://www.w3.org/2000/01/rdf-schema#label> "Bayesian inference for partially observed stochastic differential equations driven by fractional Brownian motion (Other)"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/document/197523> <http://eprints.org/relation/isVersionOf> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/document/197523> <http://eprints.org/relation/isVolatileVersionOf> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/document/197523> <http://eprints.org/relation/isIndexCodesVersionOf> <https://discovery.ucl.ac.uk/id/document/197518> .
<https://discovery.ucl.ac.uk/id/eprint/1474799> <http://www.w3.org/2000/01/rdf-schema#seeAlso> <https://discovery.ucl.ac.uk/id/eprint/1474799/> .
<https://discovery.ucl.ac.uk/id/eprint/1474799/> <http://purl.org/dc/elements/1.1/title> "HTML Summary of #1474799 \n\nBayesian inference for partially observed stochastic differential equations driven by fractional Brownian motion\n\n" .
<https://discovery.ucl.ac.uk/id/eprint/1474799/> <http://purl.org/dc/elements/1.1/format> "text/html" .
<https://discovery.ucl.ac.uk/id/eprint/1474799/> <http://xmlns.com/foaf/0.1/primaryTopic> <https://discovery.ucl.ac.uk/id/eprint/1474799> .