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

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

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

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 algorithm; Markov chain Monte Carlo methods; graphical models; Cox-Ingersoll-Ross model; retrospective sampling; Poisson estimator; acceptance method; Monte Carlo maximum likelihood; transition density estimators

Mathematics Subject Classification ID

62F15: Bayesian inference

62M05: Markov processes: estimation; hidden Markov models

65C05: Monte Carlo methods

65C40: Numerical analysis or methods applied to Markov chains

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