Statistical inference for stochastic differential equations
From MaRDI portal
Publication:6602008
DOI10.1002/WICS.1585zbMATH Open1544.62033MaRDI QIDQ6602008FDOQ6602008
Radu Herbei, Grant Schneider, Peter F. Craigmile, Ge Liu
Publication date: 11 September 2024
Published in: Wiley Interdisciplinary Reviews. WIREs Computational Statistics (Search for Journal in Brave)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- The pricing of options and corporate liabilities
- Guided proposals for simulating multi-dimensional diffusion bridges
- Two singular diffusion problems
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- A theory of the term structure of interest rates
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
- The pseudo-marginal approach for efficient Monte Carlo computations
- Sequential Monte Carlo with Highly Informative Observations
- Handbook of Markov Chain Monte Carlo
- On Generating Monte Carlo Samples of Continuous Diffusion Bridges
- An equilibrium characterization of the term structure
- Retrospective exact simulation of diffusion sample paths with applications
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Markov Chain Monte Carlo for Exact Inference for Diffusions
- Simulation of Multivariate Diffusion Bridges
- Stochastic calculus for finance. II: Continuous-time models.
- Multilevel Monte Carlo Path Simulation
- Maximum Likelihood Estimation for Stochastic Differential Equations with Random Effects
- Sequential Monte Carlo methods for diffusion processes
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Bayesian inference for nonlinear multivariate diffusion models observed with error
- Statistical inference for ergodic diffusion processes.
- A spatial stochastic neuronal model with Ornstein-Uhlenbeck input current
- Closed-form likelihood expansions for multivariate diffusions
- Exact simulation of diffusions
- Exact simulation problems for jump-diffusions
- On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions
- Nonparametric estimation of diffusions: a differential equations approach
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
- Exact simulation of jump-diffusion processes with Monte Carlo applications
- A factorisation of diffusion measure and finite sample path constructions
- Numerical solution of stochastic differential equations with jumps in finance
- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
- Statistical Methods for Stochastic Differential Equations
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes
- Efficient high-dimensional importance sampling
- The Ornstein-Uhlenbeck process as a model for neuronal activity. I. Mean and variance of the firing time
- Spatiotemporal prediction for log-Gaussian Cox processes
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
- A Method of Second-Order Accuracy Integration of Stochastic Differential Equations
- Estimation for nonlinear stochastic differential equations by a local linearization method1
- Inference for stochastic volatility models using time change transformations
- Inference for Diffusion Processes
- Multi-level Monte Carlo methods for the approximation of invariant measures of stochastic differential equations
- Evaluating the noncentral chi-square distribution for the Cox-Ingersoll-Ross process
- Long-memory stable {O}rnstein-{U}hlenbeck processes
- Analysis of Radio Telemetry Data in Studies of Home Range
- Modeling space-time data using stochastic differential equations
- Exact simulation of the Wright-Fisher diffusion
- Exact simulation of conditioned Wright-Fisher models
- Bayesian inference of selection in the Wright-Fisher diffusion model
- A piecewise deterministic Monte Carlo method for diffusion bridges
- References
- A regularized bridge sampler for sparsely sampled diffusions
- Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes
- Nonparametric Bayesian methods for one-dimensional diffusion models
- An MCMC Algorithm for Parameter Estimation in Signals with Hidden Intermittent Instability
- Estimating the nitrous oxide emission rate from the soil surface by means of a diffusion model
- On asymptotic inference in stochastic differential equations with time‐varying covariates
- Efficient inference for stochastic differential equation mixed-effects models using correlated particle pseudo-marginal algorithms
- Continuous and tractable models for the variation of evolutionary rates
- Exact simulation for multivariate Itô diffusions
- Bayesian inference for irreducible diffusion processes using the pseudo-marginal approach
- Bounded Ornstein-Uhlenbeck models for two-choice time controlled tasks
- A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations
- A spatially varying stochastic differential equation model for animal movement
- Spatio‐temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference
- Improved bridge constructs for stochastic differential equations
- Simulating events of unknown probabilities via reverse time martingales
- On the theory of the Brownian motion.
- Applied Stochastic Differential Equations
- Spectral density-based and measure-preserving ABC for partially observed diffusion processes. An illustration on Hamiltonian SDEs
- Stochastic Partial Differential Equation Based Modelling of Large Space–Time Data Sets
- Varying-coefficient stochastic differential equations with applications in ecology
- Multilevel particle filters for Lévy-driven stochastic differential equations
- Bayesian inference for stable Lévy–driven stochastic differential equations with high‐frequency data
- Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes
- Parameter inference and model selection in deterministic and stochastic dynamical models via approximate Bayesian computation: modeling a wildlife epidemic
- Estimation of the linear mixed integrated Ornstein–Uhlenbeck model
- A study of the data augmentation strategy for stochastic differential equations
- Vector‐valued generalized Ornstein–Uhlenbeck processes: Properties and parameter estimation
- Latent Ornstein‐Uhlenbeck models for Bayesian analysis of multivariate longitudinal categorical responses
- Parametric inference for diffusion processes observed at discrete points in time: a survey
Cited In (3)
This page was built for publication: Statistical inference for stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6602008)