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Observed diffusion processes (with discussion).

Research output: Contribution to journalJournal article

Published

  • Alexandros Beskos
  • Omiros Papaspiliopoulos
  • Gareth O. Roberts
  • Paul Fearnhead
<mark>Journal publication date</mark>06/2006
<mark>Journal</mark>Journal of the Royal Statistical Society: Series B (Statistical Methodology)
Issue3
Volume68
Number of pages50
Pages333-382
<mark>Original language</mark>English

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.