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:
Journal Article
Journal or Publication Title:
Journal of the Royal Statistical Society: Series B (Statistical Methodology)
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2600/2613
Subjects:
?? cox–ingersoll–ross model • em algorithm • graphical models • markov chain monte carlo methods • monte carlo maximum likelihood • retrospective samplingstatistics and probabilitystatistics, probability and uncertaintyqa mathematics ??
ID Code:
19744
Deposited By:
Deposited On:
07 Nov 2008 15:36
Refereed?:
Yes
Published?:
Published
Last Modified:
15 Jul 2024 09:46