Simple simulation of diffusion bridges with application to likelihood inference for diffusions (Q2448707): Difference between revisions

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+Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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+Closed-form likelihood expansions for multivariate diffusions
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+Retrospective exact simulation of diffusion sample paths with applications
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+A factorisation of diffusion measure and finite sample path constructions
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+Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
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+Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
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+Diffusion-type models with given marginal distribution and autocorrelation function
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+Martingale estimation functions for discretely observed diffusion processes
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+Estimation of the coefficients of a diffusion from discrete observations
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+Simulation of conditioned diffusion and application to parameter estimation
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+Likelihood Inference for Discretely Observed Nonlinear Diffusions
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+Bayesian Inference for Stochastic Kinetic Models Using a Diffusion Approximation
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+Coincidence probabilities
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+Time-reversible diffusions
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+Estimation of an Ergodic Diffusion from Discrete Observations
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+On Generating Monte Carlo Samples of Continuous Diffusion Bridges
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+References
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+On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
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+Publication:2448707