Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion) (Q3408539)
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scientific article; zbMATH DE number 5071796
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| English | Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion) |
scientific article; zbMATH DE number 5071796 |
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Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion) (English)
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14 November 2006
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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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0.9430723
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0.94170976
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0.93146294
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0.93094337
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