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 1369-7412Full text not available from this repository.
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.
|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
|Deposited On:||07 Nov 2008 15:36|
|Last Modified:||02 Dec 2016 01:14|
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