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Observed diffusion processes (with discussion).

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 (Statistical Methodology), 68 (3). pp. 333-382. ISSN 1369-7412

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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 (Statistical Methodology)
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: 23 Oct 2014 15:30
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/19744

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