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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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
Date of first compliant deposit:	1 August 2016
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Status:	Not Peer Reviewed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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