Likelihood inference for discretely observed non-linear diffusions
Ola Elerian, Siddhartha Chib and Neil Shephard
| Year of publication: |
2000
|
|---|---|
| Authors: | Elerian, Ola ; Chib, Siddhartha ; Shephard, Neil G. |
| Publisher: |
Oxford : Oxford Financial Research Centre |
| Subject: | Bayes estimation | Non-linear diffusion | Euler-Maruyama approximation | Maximum likelihood | Markov chain Monte Carlo | Metropolis Hastings algorithm | Missing data | Simulation | Stochastic differential equation | Markov-Kette | Markov chain | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference | Algorithmus | Algorithm | Nichtlineare Regression | Nonlinear regression |
| Extent: | Online-Ressource (PDF-Datei: 40 S., 973 kB ) graph. Darst. |
|---|---|
| Series: | Mathematical finance. - Oxford, ZDB-ID 2485418-9. - Vol. 2000,02 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009581671