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~person:"Filali, Karim"
~person:"Shephard, Neil"
~subject:"Brownian bridge"
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Efficient computation of the cdf of the maximum distance between Brownian bridge and its concave majorant
Filali, Karim
;
Balabdaoui, Fadoua
-
Université Paris-Dauphine (Paris IX)
-
2012
variants that are both based on a
Monte
Carlo
approach, whereas the second uses the Gaver–Stehfest (GS) algorithm for the …
Persistent link: https://www.econbiz.de/10010708585
Saved in:
2
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
…
Persistent link: https://www.econbiz.de/10005730357
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