Beskos, Alexandros and Papaspiliopoulos, Omiros and Roberts, Gareth O. and Fearnhead, Paul (2006) Observed diffusion processes (with discussion). Journal of the Royal Statistical Society, Series B, 68 (3). pp. 333-382.
Full text not available from this repository.Official URL: http://dx.doi.org/10.1111/j.1467-9868.2006.00552.x
Abstract
The objective of the paper is to present a novel methodology for likelihood-based inference for discretely observed diffusions. We propose Monte Carlo methods, which build on recent advances on the exact simulation of diffusions, for performing maximum likelihood and Bayesian estimation.
| Item Type: | Article |
|---|---|
| Journal or Publication Title: | Journal of the Royal Statistical Society, Series B |
| Uncontrolled Keywords: | Cox–Ingersoll–Ross model • EM algorithm • Graphical models • Markov chain Monte Carlo methods • Monte Carlo maximum likelihood • Retrospective sampling |
| Subjects: | Q Science > QA Mathematics |
| Departments: | Faculty of Science and Technology > Mathematics and Statistics Faculty of Science and Technology > Lancaster Environment Centre |
| ID Code: | 19744 |
| Deposited By: | ep_ss_importer |
| Deposited On: | 07 Nov 2008 15:36 |
| Refereed?: | Yes |
| Published?: | Published |
| Last Modified: | 26 Jul 2012 15:34 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/19744 |
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