Observed diffusion processes (with discussion).

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Observed diffusion processes (with discussion). / Beskos, Alexandros; Papaspiliopoulos, Omiros; Roberts, Gareth O. et al.
In: Journal of the Royal Statistical Society: Series B (Statistical Methodology), Vol. 68, No. 3, 06.2006, p. 333-382.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Beskos, A, Papaspiliopoulos, O, Roberts, GO & Fearnhead, P 2006, 'Observed diffusion processes (with discussion).', Journal of the Royal Statistical Society: Series B (Statistical Methodology), vol. 68, no. 3, pp. 333-382. https://doi.org/10.1111/j.1467-9868.2006.00552.x

APA

Beskos, A., Papaspiliopoulos, O., Roberts, G. O., & Fearnhead, P. (2006). Observed diffusion processes (with discussion). Journal of the Royal Statistical Society: Series B (Statistical Methodology), 68(3), 333-382. https://doi.org/10.1111/j.1467-9868.2006.00552.x

Vancouver

Beskos A, Papaspiliopoulos O, Roberts GO, Fearnhead P. Observed diffusion processes (with discussion). Journal of the Royal Statistical Society: Series B (Statistical Methodology). 2006 Jun;68(3):333-382. doi: 10.1111/j.1467-9868.2006.00552.x

Author

Beskos, Alexandros ; Papaspiliopoulos, Omiros ; Roberts, Gareth O. et al. / Observed diffusion processes (with discussion). In: Journal of the Royal Statistical Society: Series B (Statistical Methodology). 2006 ; Vol. 68, No. 3. pp. 333-382.

Bibtex

@article{f9aeb84e83c74109ab4414ebc828e25b,

title = "Observed diffusion processes (with discussion).",

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.",

keywords = "Cox–Ingersoll–Ross model • EM algorithm • Graphical models • Markov chain Monte Carlo methods • Monte Carlo maximum likelihood • Retrospective sampling",

author = "Alexandros Beskos and Omiros Papaspiliopoulos and Roberts, {Gareth O.} and Paul Fearnhead",

year = "2006",

month = jun,

doi = "10.1111/j.1467-9868.2006.00552.x",

language = "English",

volume = "68",

pages = "333--382",

journal = "Journal of the Royal Statistical Society: Series B (Statistical Methodology)",

issn = "1369-7412",

publisher = "Wiley-Blackwell",

number = "3",

}

RIS

TY - JOUR

T1 - Observed diffusion processes (with discussion).

AU - Beskos, Alexandros

AU - Papaspiliopoulos, Omiros

AU - Roberts, Gareth O.

AU - Fearnhead, Paul

PY - 2006/6

Y1 - 2006/6

N2 - 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.

AB - 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.

KW - Cox–Ingersoll–Ross model • EM algorithm • Graphical models • Markov chain Monte Carlo methods • Monte Carlo maximum likelihood • Retrospective sampling

U2 - 10.1111/j.1467-9868.2006.00552.x

DO - 10.1111/j.1467-9868.2006.00552.x

M3 - Journal article

VL - 68

SP - 333

EP - 382

JO - Journal of the Royal Statistical Society: Series B (Statistical Methodology)

JF - Journal of the Royal Statistical Society: Series B (Statistical Methodology)

SN - 1369-7412

IS - 3

ER -

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