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