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

DOI10.1111/j.1467-9868.2006.00552.xzbMath1100.62079OpenAlexW2126750122MaRDI QIDQ3408539

Paul Fearnhead, Omiros Papaspiliopoulos, Gareth O. Roberts, Alexandros Beskos

Publication date: 14 November 2006

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9868.2006.00552.x

zbMATH Keywords

EM algorithmMarkov chain Monte Carlo methodsgraphical modelsCox-Ingersoll-Ross modelretrospective samplingPoisson estimatoracceptance methodMonte Carlo maximum likelihoodtransition density estimators

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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