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Parametric estimation of discretely observed diffusions using the EM algorithm
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Papaspiliopoulos, Omiros and Sermaidis, Giorgos (2007) Parametric estimation of discretely observed diffusions using the EM algorithm. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2007 (No.21).
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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
Abstract
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.
| Item Type: | Working or Discussion Paper (Working Paper) | ||||
|---|---|---|---|---|---|
| Subjects: | Q Science > QA Mathematics | ||||
| Divisions: | Faculty of Science > Statistics | ||||
| Library of Congress Subject Headings (LCSH): | Diffusion processes, Parameter estimation, Monte Carlo method | ||||
| Series Name: | Working papers | ||||
| Publisher: | University of Warwick. Centre for Research in Statistical Methodology | ||||
| Place of Publication: | Coventry | ||||
| Official Date: | 2007 | ||||
| Dates: |
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| Volume: | Vol.2007 | ||||
| Number: | No.21 | ||||
| Number of Pages: | 5 | ||||
| Status: | Not Peer Reviewed | ||||
| Access rights to Published version: | Open Access |
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