Likelihood Inference for Discretely Observed Nonlinear Diffusions
From MaRDI portal
Recommendations
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Bayesian inference for nonlinear multivariate diffusion models observed with error
- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
- scientific article; zbMATH DE number 758455
- Nonparametric estimation of diffusions: a differential equations approach
Cited in
(only showing first 100 items - show all)- Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model
- A new estimating function for discretely sampled diffusions
- Parameter estimation in a stochastic model of the tubuloglomerular feedback mechanism in a rat nephron
- Consistent nonparametric Bayesian inference for discretely observed scalar diffusions
- Simulation-based Bayesian estimation of an affine term structure model
- Statistical algorithms for low-frequency diffusion data: a PDE approach
- Prediction-based estimation for diffusion models with high-frequency data
- Naive method to test the convergence of simulation and its applications in the computation of bankruptcy probability
- On the applicability of stochastic volatility models
- Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations
- Hierarchical Bayesian inference for HIV dynamic differential equation models incorporating multiple treatment factors
- Markov chain Monte Carlo methods for stochastic volatility models.
- Estimation in the partially observed stochastic Morris-Lecar neuronal model with particle filter and stochastic approximation methods
- Estimation for discretely observed diffusions using transform functions
- Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes
- Simulation-based estimation methods for financial time series models
- Convergence of conditional Metropolis-Hastings samplers
- Parametric inference for diffusion processes observed at discrete points in time: a survey
- Inference for reaction networks using the linear noise approximation
- Specification tests for univariate diffusions
- Stability of sampling proposals for reducible diffusions over large time intervals
- Bayesian analysis of the stochastic conditional duration model
- Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme
- Process modeling for soil moisture using sensor network data
- Bayesian inference of a stochastic diffusion process for the dynamic of HIV in closed heterosexual population with simulations and application to Morocco case
- A simple approach to the parametric estimation of potentially nonstationary diffusions
- Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
- Particle filters for continuous likelihood evaluation and maximisation
- Closed-form approximations of moments and densities of continuous-time Markov models
- Comparison of MCMC algorithms for the estimation of Tobit model with non-normal error: the case of asymmetric Laplace distribution
- Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms
- Markov chain Monte Carlo for exact inference for diffusions
- Bayesian Inference for Stochastic Kinetic Models Using a Diffusion Approximation
- Inference of dynamic generalized linear models: on-line computation and appraisal
- MALLIAVIN CALCULUS FOR THE ESTIMATION OF TIME-VARYING REGRESSION MODELS USED IN FINANCIAL APPLICATIONS
- Effect of vitamin A deficiency on respiratory infection: causal inference for a discretely observed continuous time non-stationary Markov process
- Likelihood-based inference for a class of multivariate diffusions with unobserved paths
- Globally optimal parameter estimates for nonlinear diffusions
- Notes on financial econometrics
- Asymptotic properties of Monte Carlo estimators of diffusion processes
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
- Quasi‐maximum likelihood estimation of discretely observed diffusions
- Quantifying intrinsic and extrinsic noise in gene transcription using the linear noise approximation: an application to single cell data
- Likelihood Inference for Unions of Interacting Discs
- Bayesian inference for Markov processes with diffusion and discrete components
- A multifactor transformed diffusion model with applications to VIX and VIX futures
- Parameter estimation for a type of nonlinear stochastic models observed with error
- A multiresolution method for parameter estimation of diffusion processes
- Bayesian inference for nonlinear multivariate diffusion models observed with error
- Realistic Statistical Modelling of Financial Data
- Quantifying Model Uncertainties in Complex Systems
- An efficient method to simulate diffusion bridges
- Likelihood-based inference for correlated diffusions
- Continuous-discrete smoothing of diffusions
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Parametric inference for discretely observed non-ergodic diffusions
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
- Adaptive MCMC methods for inference on affine stochastic volatility models with jumps
- MCMC METHODS FOR DIFFUSION BRIDGES
- Volatility comovement: a multifrequency approach
- A Bayesian approach in differential equation dynamic models incorporating clinical factors and covariates
- Stochastic models for greenhouse gas emission rate estimation from hydroelectric reservoirs: a Bayesian hierarchical approach
- Quasi-likelihood analysis for nonsynchronously observed diffusion processes
- A Gaussian approximation scheme for computation of option prices in stochastic volatility models
- Efficient estimation and filtering for multivariate jump-diffusions
- Statistical Inference for Discretely Observed Markov Jump Processes
- Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
- Bayesian analysis of ambulatory blood pressure dynamics with application to irregularly spaced sparse data
- Parametric estimation from approximate data: non-Gaussian diffusions
- Inference for stochastic volatility models using time change transformations
- A two-stage realized volatility approach to estimation of diffusion processes with discrete data
- The dynamics of stochastic volatility: evidence from underlying and options markets
- Statistical inference for stochastic differential equations
- Stochastic gradient descent in continuous time
- Statistical Inference in a Stochastic Epidemic SEIR Model with Control Intervention: Ebola as a Case Study
- Latent diffusion models for survival analysis
- Tailored randomized block MCMC methods with application to DSGE models
- Bayesian semiparametric stochastic volatility modeling
- Estimation of dynamic models with nonparametric simulated maximum likelihood
- A Bayesian estimation approach for the mortality in a stage-structured demographic model
- Continuous-time modelling of behavioural responses in animal movement
- Sequential Monte Carlo with Highly Informative Observations
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions
- Quasi-likelihood estimation of a threshold diffusion process
- Likelihood Inference for Exponential-Trawl Processes
- A Rao-blackwellized particle filter for joint parameter estimation and biomass tracking in a stochastic predator-prey system
- Modeling the euglycemic hyperinsulinemic clamp by stochastic differential equations
- Comment: A selective overview of nonparametric methods in financial econometrics
- Bayesian Analysis of Single-Molecule Experimental Data
- A regularized bridge sampler for sparsely sampled diffusions
- Testing for Threshold Diffusion
- Variational Markov chain Monte Carlo for Bayesian smoothing of non-linear diffusions
- Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model
- Stochastic functional data analysis: a diffusion model-based approach
- Generative ensemble regression: Learning particle dynamics from observations of ensembles with physics-informed deep generative models
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Statistical aspects of the fractional stochastic calculus
- Nonparametric adaptive estimation for integrated diffusions
- Efficient importance sampling maximum likelihood estimation of stochastic differential equations
- Maximum likelihood estimation of partially observed diffusion models
This page was built for publication: Likelihood Inference for Discretely Observed Nonlinear Diffusions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4531026)
