Papers › Bayesian Non-Parametric Inference for Lévy Measures in State-Space Models
Bayesian Non-Parametric Inference for Lévy Measures in State-Space Models
Bill Z. Lin, Simon Godsill
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L\'evy processes, known for their ability to model complex dynamics with skewness, heavy tails, and discontinuities, play a critical role in stochastic modeling across various domains. However, inference for most L\'evy processes, whether in parametric or non-parametric settings, remains a significant challenge. In this work, we present a novel Bayesian non-parametric inference framework for inferring the L\'evy measures of subordinators and normal variance-mean (NVM) processes within a linear state space model. A flexible random measure, the Independent Gamma-scaled Dirichlet Process (IGSDP), is introduced, for which the well-known Gamma process is a special case, leading to tractable conditional distributions for inference about both L\'evy measures. We further show that in the Gamma process special case, conjugacy can be achieved for hyper-parameter inference. An explicit characterization of the parameter contour for NVM processes is provided, enabling an identifiable parameterization of the model for effective Markov Chain Monte Carlo algorithms in posterior inference. The method is demonstrated on both synthetic and tick-level (high-frequency) financial datasets.
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