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~institution:"Economics Group, Nuffield College, University of Oxford"
~person:"Shephard, Neil"
~subject:"Brownian bridge"
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Likelihood based inference for diffusion driven models
Chib, Siddhartha
;
Pitt, Michael K
;
Shephard, Neil
-
Economics Group, Nuffield College, University of Oxford
-
2004
diffusions can potentially be non-stationary. Although our methods are sampling based, making use of Markov chain
Monte
Carlo
…
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