The Library

Parametric estimation of discretely observed diffusions using the EM algorithm

Tools

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).

Preview

PDF
WRAP_papaspiliopoulos_07-21w.pdf - Published Version - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Download (648Kb)

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:

Date	Event
2007	Published

Volume:

Vol.2007

Number:

No.21

Number of Pages:

Status:

Not Peer Reviewed

Access rights to Published version:

Open Access

References:

[1] Kloeden, P. and Platen, E. (1995) Numerical Solution of Stochastic Differential
Equations. New York: Springer.
[2] Dempster, A. P., Laird, N. M. and Rubin, D. B. (1997) Maximum likelihood
from incomplete data via the em algorithm (with discussion). J. R. Statist.
Soc. B, 39, 1–38.
[3] Beskos, A., Papaspiliopoulos, O., Roberts, G. O. and Fearnhead, P. (2006)
Exact and computationally efficient likelihood-based estimation for discretely
observed diffusion processes. J. R. Stat. Soc. Ser. B Stat. Methodol.,
68, 333–382.
[4] Fearnhead, P., Papaspiliopoulos, O. and Roberts, G. O. (2006) Particle
filters for partially observed diffusions. In revision.

URI:

http://wrap.warwick.ac.uk/id/eprint/35556

Request changes or add full text files to a record