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

Full 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.

Item Type:
Journal 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 samplingstatistics and probabilitystatistics, probability and uncertaintyqa mathematics ??
ID Code:
Deposited By:
Deposited On:
07 Nov 2008 15:36
Last Modified:
15 Jul 2024 09:46