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Likelihood-based inference for correlated diffusions
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Kalogeropoulos, Konstantinos, Dellaportas, Petros and Roberts, Gareth O. (2011) Likelihood-based inference for correlated diffusions. Canadian Journal of Statistics, Volume 39 (Number 1). pp. 52-72. doi:10.1002/cjs.10096 ISSN 0319-5724.
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Official URL: http://dx.doi.org/10.1002/cjs.10096
Abstract
The authors address the problem of likelihood-based inference for correlated diffusions. Such a task presents two issues; the positive definite constraints of the diffusion matrix and the likelihood intractability. The first issue is handled by using the Cholesky factorization on the diffusion matrix. To deal with the likelihood unavailability, a generalization of the data augmentation framework of Roberts and Stramer [Roberts and Stramer (2001) Biometrika 88(3), 603-621] to d-dimensional correlated diffusions, including multivariate stochastic volatility models, is given. The methodology is illustrated through simulated and real data sets. The Canadian Journal of Statistics 39: 52-72; 2011 (C) 2011 Statistical Society of Canada
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Inference, Monte Carlo method, Markov processes, Multivariate analysis, Stochastic differential equations, Diffusion processes | ||||
Journal or Publication Title: | Canadian Journal of Statistics | ||||
Publisher: | Wiley-Blackwell Publishing, Inc. | ||||
ISSN: | 0319-5724 | ||||
Official Date: | March 2011 | ||||
Dates: |
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Volume: | Volume 39 | ||||
Number: | Number 1 | ||||
Page Range: | pp. 52-72 | ||||
DOI: | 10.1002/cjs.10096 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Funder: | European Union (EU) |
Data sourced from Thomson Reuters' Web of Knowledge
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