Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion) (Q3408539): Difference between revisions

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English	Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)	scientific article

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instance of

scholarly article

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title

Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion) (English)

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author

Alexandros Beskos

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Omiros Papaspiliopoulos

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Gareth O. Roberts

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Paul Fearnhead

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published in

Journal of the Royal Statistical Society Series B: Statistical Methodology

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publication date

14 November 2006

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zbMATH Keywords

Cox-Ingersoll-Ross model

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EM algorithm

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graphical models

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Markov chain Monte Carlo methods

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Monte Carlo maximum likelihood

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retrospective sampling

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transition density estimators

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acceptance method

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Poisson estimator

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9868.2006.00552.x

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cites work

Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

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Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

0 references

Retrospective exact simulation of diffusion sample paths with applications

0 references

Monte Carlo maximum likelihood estimation for discretely observed diffusion processes

0 references

The Pricing of Options and Corporate Liabilities

0 references

Monte Carlo EM Estimation for Time Series Models Involving Counts

0 references

Estimation of the coefficients of a diffusion from discrete observations

0 references

Likelihood Inference for Discretely Observed Nonlinear Diffusions

0 references

Convergence of the Monte Carlo expectation maximization for curved exponential families.

0 references

Estimating stochastic differential equations efficiently by minimum chi-squared

0 references

LAN property for ergodic diffusions with discrete observations

0 references

Multivariate Jacobi process with application to smooth transitions

0 references

Estimation of an Ergodic Diffusion from Discrete Observations

0 references

Q5650234

0 references

Q4714065

0 references

Optimum consumption and portfolio rules in a continuous-time model

0 references

Retrospective Markov chain Monte Carlo methods for Dirichlet process hierarchical models

0 references

Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes

0 references

Q5287558

0 references

Q4303982

0 references

Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes

0 references

On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm

0 references

Conditions for convergence of Monte Carlo EM sequences with an application to product diffusion modeling

0 references

Unbiased multi-step estimators for the Monte Carlo evaluation of certain functional integrals

0 references

Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations

0 references

Fully Nonparametric Estimation of Scalar Diffusion Models

0 references

Q3894827

0 references

Estimating diffusion coefficients from count data: Einstein-Smoluchowski theory revisited

0 references

Non-parametric estimation for the \(M/G/\infty\) queue

0 references

Perfect simulation for a class of positive recurrent Markov chains

0 references

Bayesian model selection for partially observed diffusion models

0 references

Sequential Monte Carlo Methods in Practice

0 references

A Reexamination of Diffusion Estimators With Applications to Financial Model Validation

0 references

Particle Filters for Partially Observed Diffusions

0 references

Q4174025

0 references

Polynomial convergence rates of Markov chains

0 references

Likelihood-based inference for a class of multivariate diffusions with unobserved paths

0 references

Q3923307

0 references

Geometric ergodicity and perfect simulation

0 references

Time-reversible diffusions

0 references

Computational Aspects Related to Martingale Estimating Functions for a Discretely Observed Diffusion

0 references

Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals

0 references

Exact sampling with coupled Markov chains and applications to statistical mechanics

0 references

Monte Carlo EM with importance reweighting and its applications in random effects models.

0 references

Q4039921

0 references

Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes

0 references

Identifiers

zbMATH Open document ID

1100.62079

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DOI

10.1111/j.1467-9868.2006.00552.x

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:3408539

@@ Property / cites work @@
+Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Retrospective exact simulation of diffusion sample paths with applications
+Normal rank
@@ Property / cites work @@
+Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo EM Estimation for Time Series Models Involving Counts
+Normal rank
@@ Property / cites work @@
+Estimation of the coefficients of a diffusion from discrete observations
+Normal rank
@@ Property / cites work @@
+Likelihood Inference for Discretely Observed Nonlinear Diffusions
+Normal rank
@@ Property / cites work @@
+Convergence of the Monte Carlo expectation maximization for curved exponential families.
+Normal rank
@@ Property / cites work @@
+Estimating stochastic differential equations efficiently by minimum chi-squared
+Normal rank
@@ Property / cites work @@
+LAN property for ergodic diffusions with discrete observations
+Normal rank
@@ Property / cites work @@
+Multivariate Jacobi process with application to smooth transitions
+Normal rank
@@ Property / cites work @@
+Estimation of an Ergodic Diffusion from Discrete Observations
+Normal rank
@@ Property / cites work @@
+Q5650234
@@ Property / cites work: Q5650234 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4714065
@@ Property / cites work: Q4714065 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Retrospective Markov chain Monte Carlo methods for Dirichlet process hierarchical models
+Normal rank
@@ Property / cites work @@
+Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes
+Normal rank
@@ Property / cites work @@
+Q5287558
@@ Property / cites work: Q5287558 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4303982
@@ Property / cites work: Q4303982 / rank @@
+Normal rank
@@ Property / cites work @@
+Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
+Normal rank
@@ Property / cites work @@
+On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
+Normal rank
@@ Property / cites work @@
+Conditions for convergence of Monte Carlo EM sequences with an application to product diffusion modeling
+Normal rank
@@ Property / cites work @@
+Unbiased multi-step estimators for the Monte Carlo evaluation of certain functional integrals
+Normal rank
@@ Property / cites work @@
+Undiased monte carlo estimators for functionals of weak solutions of stochastic diffretial equations
+Normal rank
@@ Property / cites work @@
+Fully Nonparametric Estimation of Scalar Diffusion Models
+Normal rank
@@ Property / cites work @@
+Q3894827
@@ Property / cites work: Q3894827 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating diffusion coefficients from count data: Einstein-Smoluchowski theory revisited
+Normal rank
@@ Property / cites work @@
+Non-parametric estimation for the \(M/G/\infty\) queue
+Normal rank
@@ Property / cites work @@
+Perfect simulation for a class of positive recurrent Markov chains
+Normal rank
@@ Property / cites work @@
+Bayesian model selection for partially observed diffusion models
+Normal rank
@@ Property / cites work @@
+Sequential Monte Carlo Methods in Practice
@@ Property / cites work: Sequential Monte Carlo Methods in Practice / rank @@
+Normal rank
@@ Property / cites work @@
+A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
+Normal rank
@@ Property / cites work @@
+Particle Filters for Partially Observed Diffusions
+Normal rank
@@ Property / cites work @@
+Q4174025
@@ Property / cites work: Q4174025 / rank @@
+Normal rank
@@ Property / cites work @@
+Polynomial convergence rates of Markov chains
@@ Property / cites work: Polynomial convergence rates of Markov chains / rank @@
+Normal rank
@@ Property / cites work @@
+Likelihood-based inference for a class of multivariate diffusions with unobserved paths
+Normal rank
@@ Property / cites work @@
+Q3923307
@@ Property / cites work: Q3923307 / rank @@
+Normal rank
@@ Property / cites work @@
+Geometric ergodicity and perfect simulation
@@ Property / cites work: Geometric ergodicity and perfect simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Time-reversible diffusions
@@ Property / cites work: Time-reversible diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Computational Aspects Related to Martingale Estimating Functions for a Discretely Observed Diffusion
+Normal rank
@@ Property / cites work @@
+Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals
+Normal rank
@@ Property / cites work @@
+Exact sampling with coupled Markov chains and applications to statistical mechanics
+Normal rank
@@ Property / cites work @@
+Monte Carlo EM with importance reweighting and its applications in random effects models.
+Normal rank
@@ Property / cites work @@
+Q4039921
@@ Property / cites work: Q4039921 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes
+Normal rank