Observed diffusion processes (with discussion).
Alexandros Beskos, Omiros Papaspiliopoulos, Gareth O. Roberts, Paul Fearnhead · Lancaster EPrints (Lancaster University) · 2006
The objective of the 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.