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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
Journal publication date06/2006
JournalJournal of the Royal Statistical Society, Series B
Journal number3
Volume68
Number of pages50
Pages333-382
Original languageEnglish

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.