Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Year of publication: |
2010-08-05
|
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Authors: | Bladt, Mogens ; Sørensen, Michael |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Bayesian inference | diffusion bridge | discretely sampled diffusions | EM-algorithm | Euler scheme | likelihood inference | time-reversion |
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