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Importance sampling techniques for estimation of diffusions models
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Papaspiliopoulos, Omiros and Roberts, Gareth O. (2009) Importance sampling techniques for estimation of diffusions models. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2009 (No.28).
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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
Abstract
This article develops a class of Monte Carlo (MC) methods for simulating conditioned
diffusion sample paths, with special emphasis on importance sampling
schemes. We restrict attention to a particular type of conditioned diffusions,
the so-called diffusion bridge processes. The diffusion bridge is the process obtained
by conditioning a diffusion to start and finish at specific values at two
consecutive times t0 < t1.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Monte Carlo method, Sampling (Statistics), Diffusion processes | ||||
Series Name: | Working papers | ||||
Publisher: | University of Warwick. Centre for Research in Statistical Methodology | ||||
Place of Publication: | Coventry | ||||
Official Date: | 2009 | ||||
Dates: |
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Volume: | Vol.2009 | ||||
Number: | No.28 | ||||
Number of Pages: | 26 | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Date of first compliant deposit: | 1 August 2016 | ||||
Date of first compliant Open Access: | 1 August 2016 |
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