Parametric estimation of discretely observed diffusions using the EM algorithm
Omiros Papaspiliopoulos, Giorgos Sermaidis · Warwick Research Archive Portal (University of Warwick) · 2007
AMS: 60J80 In this paper we report ongoing work on parametric estimation for diffusions using Monte Carlo EM algorithms. The work presented here has already been extended to high dimensional problems and models with observation errors. 1.