Bayesian Analysis of Stochastic Process Models

Index

action

consequence

value

action space

alternative, see action

Analytic Hierarchy Process (AHP)

asset

autocorrelation function

autocovariance function

Matérn

autoregressive process

backward induction

Bayes factor

Bayes theorem

Bayesian nonparametrics

Bayesian output analysis

Bayesian robustness, see sensitivity analysis

Bellman’s principle of optimality

birth–death MCMC

birth–death process

Black–Scholes–Merton model

Black–Scholes theory

branching process

Brownian bridge

Brownian motion

Chapman–Kolmogorov equations

circular autocorrelation function (CACF)

claim

coloring theorem

compound Poisson process, see also Cramér–Lundberg process

conditional transition distribution function

conditional value at risk (CVaR)

consistency conditions

counting process

Cox process, see doubly stochastic Poisson process

Cox–Ingersoll–Ross model

Cox–Lewis process

Cramér–Lundberg approximation

Cramér–Lundberg process

credible interval

curse of dimensionality

de Finetti theorem

decision, see action

decision analysis

decision maker (DM)

decision maker’s policy

deterministic stationary

optimal

stochastic

degradation

deterministic simulator

deviance information criterion (DIC)

diffusion coefficient

diffusion process

latent observations

discrete event simulation

batch method, see macro–micro replications

macro–micro replications

output process

stationary behavior

transition behavior

distribution

Bernoulli

beta

binomial

chi-squared

continuous uniform

Coxian

Dirichlet

discrete uniform

double Pareto ...