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Exact and computationally efficient likelihood‐based estimation for discretely observed diffusion processes (with discussion)

Alexandros Beskos, Omiros Papaspiliopoulos, Gareth O. Roberts and Paul Fearnhead

Journal of the Royal Statistical Society Series B, 2006, vol. 68, issue 3, 333-382

Abstract: Summary. 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.

Date: 2006
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https://doi.org/10.1111/j.1467-9868.2006.00552.x

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