Likelihood-based inference for correlated diffusions (Q3019141): Difference between revisions

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+Closed-form likelihood expansions for multivariate diffusions
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+Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
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+MCMC METHODS FOR DIFFUSION BRIDGES
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+A Theory of the Term Structure of Interest Rates
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+Nonconjugate Bayesian Estimation of Covariance Matrices and Its Use in Hierarchical Models
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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 nonlinear multivariate diffusion models observed with error
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+Likelihood-based inference for a class of multivariate diffusions with unobserved paths
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+The Calculation of Posterior Distributions by Data Augmentation
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