Corrigendum to ‘Simulation of multivariate diffusion bridges’

Mogens Bladt, Samuel Finch and Michael Sørensen

Journal of the Royal Statistical Society Series B, 2022, vol. 84, issue 4, 1581-1585

Abstract: We correct an error in Theorem 1 in Bladt et al. (2016) Journal of the Royal Statistical Society: Series B, 78, 343–369 by changing the initial distribution of an auxiliary diffusion process, which is used to describe the distribution of the proposed approximate diffusion bridges. As a consequence, we correct two algorithms for simulating exact diffusion bridges by changing the initial distribution of auxiliary diffusion processes in the same way. Simulation studies affected by the error are redone.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1111/rssb.12512

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssb:v:84:y:2022:i:4:p:1581-1585

Ordering information: This journal article can be ordered from
http://ordering.onli ... 1111/(ISSN)1467-9868

Access Statistics for this article

Journal of the Royal Statistical Society Series B is currently edited by P. Fryzlewicz and I. Van Keilegom

More articles in Journal of the Royal Statistical Society Series B from Royal Statistical Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().