Unbiased Parameter Inference for a Class of Partially Observed Levy-Process Models

12/27/2021

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by   Hamza Ruzayqat, et al.

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We consider the problem of static Bayesian inference for partially observed Levy-process models. We develop a methodology which allows one to infer static parameters and some states of the process, without a bias from the time-discretization of the afore-mentioned Levy process. The unbiased method is exceptionally amenable to parallel implementation and can be computationally efficient relative to competing approaches. We implement the method on S P 500 log-return daily data and compare it to some Markov chain Monte Carlo (MCMC) algorithm.