This paper develops a maximum likelihood (ML) method to estimate partially observed diffusion models based on data sampled at discrete times. The method combines two techniques recently proposed in the literature in two separate steps. In the first step, the closed form approach of Aït-Sahalia...

We consider Markov-modulated nonhomogeneous Poisson processes for modeling sightings of marine mammals in shipboard or aerial surveys. In such surveys, detection of an animal is possible only when it surfaces, and with some species a substantial proportion of animals is missed because they are...

The Laplace approximation is used to perform maximum likelihood estimation of univariate and multivariate stochastic volatility (SV) models. It is shown that the implementation of the Laplace approximation is greatly simplified by the use of a numerical technique known as automatic...