prediction.intervals

samples

level

candArea

grid


Calculation of quantiles <code>level</code>/2 and 1-<code>level</code>/2 from predictive distribution based on distribution function <code>Fun(x, x0, samples)</code>.
<code>samples</code> should contain samples from the posterior distribution of the parameters.


Bayesian estimation and prediction for stochastic processes based
on the Euler approximation. Considered processes are: jump diffusion,
(mixed) diffusion models, hidden (mixed) diffusion models, non-homogeneous
Poisson processes (NHPP), (mixed) regression models for comparison and a
regression model including a NHPP.

Simone Hermann

BaPreStoPro

Bayesian Prediction of Stochastic Processes

prediction.intervals function

Bayesian prediction interval function

prediction.intervals: Bayesian prediction interval function

Description

Usage

Arguments

Value