A Simulation-Based Study on Bayesian Estimators for the Skew Brownian Motion

Entropy

Soledad Torres¹  Maritza Sepúlveda²  Manuel Barahona³  Laura Rifo³ 

[1] Centre for Research and Modeling of Random Phenomena—Valparaíso (CIMFAV), Facultad de Ingeniería, Universidad de Valparaíso, General Cruz 222, 2362905 Valparaíso, Chile;Centro de Investigación y Gestión de Recursos Naturales (CIGREN), Instituto de Biología, Universidad de Valparaíso, Av. Gran Bretaña 1111, 2360102 Valparaíso, Chile;Institute of Mathematics and Statistics, University of Campinas, Rua Sergio Buarque de Holanda 651, 13083-859 Campinas, Brazil;

关键词: skew Brownian motion;    Bayes estimator;    consistency;    e-value;   

DOI  :  10.3390/e18070241

来源: DOAJ

【 摘 要 】

In analyzing a temporal data set from a continuous variable, diffusion processes can be suitable under certain conditions, depending on the distribution of increments. We are interested in processes where a semi-permeable barrier splits the state space, producing a skewed diffusion that can have different rates on each side. In this work, the asymptotic behavior of some Bayesian inferences for this class of processes is discussed and validated through simulations. As an application, we model the location of South American sea lions (Otaria flavescens) on the coast of Calbuco, southern Chile, which can be used to understand how the foraging behavior of apex predators varies temporally and spatially.

【 授权许可】

Unknown