Simulation of multivariate diffusion bridges
Year of publication: |
2014-05-13
|
---|---|
Authors: | Bladt, Mogens ; Finch, Samuel ; Sørensen, Michael |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Bayesian inference | coupling | discretely sampled diffusions | likelihood inference | stochastic differential equation | time-reversal |
-
Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Bladt, Mogens, (2010)
-
Maximum likelihood estimation for integrated diffusion processes
Baltazar-Larios, Fernando, (2010)
-
Efficient importance sampling maximum likelihood estimation of stochastic differential equations
Pastorello, Sergio, (2004)
- More ...
-
Simulation of multivariate diffusion bridges
Bladt, Mogens, (2014)
-
Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Bladt, Mogens, (2010)
-
Statistical inference for discretely observed Markov jump processes
Bladt, Mogens, (2005)
- More ...