Piecewise Approximate Bayesian Computation: fast inference for discretely observed Markov models using a factorised posterior distribution

White, S. R.; Kypraios, T.; Preston, S. P.

doi:10.1007/s11222-013-9432-2

Research Repository

All Outputs (2)

On the epidemic of financial crises (2013)
Journal Article

The paper proposes a framework for modelling financial contagion that is based on susceptible-infected-recovered transmission models from epidemic theory. This class of models addresses two important features of contagion modelling, which are a commo... Read More about On the epidemic of financial crises.

Piecewise Approximate Bayesian Computation: fast inference for discretely observed Markov models using a factorised posterior distribution (2013)
Journal Article

© 2013, The Author(s). Many modern statistical applications involve inference for complicated stochastic models for which the likelihood function is difficult or even impossible to calculate, and hence conventional likelihood-based inferential techni... Read More about Piecewise Approximate Bayesian Computation: fast inference for discretely observed Markov models using a factorised posterior distribution.