Exact and computationally efficient likelihood–based estimation for discretely observed diffusion processes
نویسندگان
چکیده
The objective of this paper is to present a novel methodology for likelihood-based inference for discretely observed diffusions. We propose Monte Carlo methods, which build on recent advances on the exact simulation of diffusions, for performing maximum likelihood and Bayesian estimation.
منابع مشابه
Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
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