Monte Carlo maximum likelihood estimation for discretely observed diffusion processes

2 March 2009

Papers citing "Monte Carlo maximum likelihood estimation for discretely observed diffusion processes"

23 / 23 papers shown

Title
Statistical algorithms for low-frequency diffusion data: A PDE approach Matteo Giordano Sven Wang 76 4 0 02 May 2024
Efficient estimation for ergodic diffusion processes sampled at high frequency Michael Sorensen 37 1 0 09 Jan 2024
Closed-form approximations of moments and densities of continuous-time Markov models Dennis Kristensen Young Jun Lee A. Melé 17 0 0 17 Aug 2023
Unbiased likelihood estimation of Wright-Fisher diffusion processes Celia García-Pareja F. Nobile 122 0 0 08 Mar 2023
Adaptation of the Tuning Parameter in General Bayesian Inference with Robust Divergence S. Yonekura S. Sugasawa 124 25 0 13 Jun 2021
Flexible Bayesian inference for diffusion processes using splines Paul A. Jenkins M. Pollock Gareth O. Roberts 44 1 0 10 Jun 2021
On Unbiased Score Estimation for Partially Observed Diffusions J. Heng J. Houssineau Ajay Jasra 70 11 0 11 May 2021
Bayesian equation selection on sparse data for discovery of stochastic dynamical systems Kushagra Gupta Dootika Vats Snigdhansu Chatterjee 46 3 0 12 Jan 2021
Prediction-based estimation for diffusion models with high-frequency data Emil S. Jørgensen Michael Sørensen 16 2 0 24 Jul 2020
Robust test for dispersion parameter change in discretely observed diffusion processes Junmo Song 21 11 0 28 Jun 2019
Asymptotics of maximum likelihood estimators based on Markov chain Monte Carlo methods B. Miasojedow Wojciech Niemiro Wojciech Rejchel 8 0 0 08 Aug 2018
$Lévy area of fractional Ornstein-Uhlenbeck process and parameter estimation$ Lévy area of fractional Ornstein-Uhlenbeck process and parameter estimation Z. Qian Xingcheng Xu 11 1 0 29 Mar 2018
Feedback Motion Planning Under Non-Gaussian Uncertainty and Non-Convex State Constraints Mohammadhussein Rafieisakhaei A. Tamjidi S. Chakravorty P. R. Kumar 34 14 0 16 Nov 2015
Improved bridge constructs for stochastic differential equations G. Whitaker Andrew Golightly R. Boys Chris Sherlock 65 42 0 30 Sep 2015
Stochastic differential equation based on a multimodal potential to model movement data in ecology P. Gloaguen M. Étienne Sylvain Le Corff 23 0 0 30 Sep 2015
Efficient Computation of the Quasi Likelihood function for Discretely Observed Diffusion Processes L. J. Hook Erik Lindstrom 15 0 0 25 Sep 2015
Efficient estimation for diffusions sampled at high frequency over a fixed time interval N. Jakobsen Michael Sørensen 24 18 0 24 Jul 2015
Simulation of multivariate diffusion bridge M. Bladt Sam Finch Michael Sørensen 100 63 0 29 May 2014
Simple simulation of diffusion bridges with application to likelihood inference for diffusions M. Bladt Michael Sørensen 55 32 0 07 Mar 2014
Maximum-likelihood estimation for diffusion processes via closed-form density expansions Chenxu Li 66 74 0 13 Aug 2013
On spectral properties and statistical analysis of Fisher-Snedecor diffusion F. Avram Nikolai N. Leonenko N. vSuvak 82 5 0 28 Jul 2010
Parameter estimation for rough differential equations A. Papavasiliou Christophe Ladroue 296 34 0 16 Dec 2008
Particle Filters for Partially Observed Diffusions Paul Fearnhead O. Papaspiliopoulos Gareth O. Roberts 266 165 0 23 Oct 2007