Bayesian inference for irreducible diffusion processes using the pseudo-marginal approach
diffusion processEuler discretizationgrouped independence metropolis-Hastings (GIMH)Markov chain Monte Carlo (MCMC)Monte Carlo within Metropolis (MCWM)pseudo-marginal (PM) algorithm
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods in Markov chains (60J22) Diffusion processes (60J60) Software, source code, etc. for problems pertaining to statistics (62-04) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20)
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