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

DOI10.1111/J.1467-9868.2006.00552.XMaRDI QIDQ3408539zbMATH OpenOpenAlexFDO

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

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 algorithmgraphical modelsMarkov chain Monte Carlo methodsCox-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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