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Exact Monte Carlo likelihood-based inference for jump-diffusion processes
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Goncalves, Flavio, Latuszynski, Krzysztof and Roberts, Gareth O. (2023) Exact Monte Carlo likelihood-based inference for jump-diffusion processes. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 85 (3). pp. 732-756. doi:10.1093/jrsssb/qkad022 ISSN 1369-7412.
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Official URL: https://doi.org/10.1093/jrsssb/qkad022
Abstract
Statistical inference for discretely observed jump-diffusion processes is a complex problem which motivates new methodological challenges. Thus existing approaches invariably resort to time- discretisations which inevitably lead to approximations in inference. In this paper, we give the first general collection of methodologies for exact (in this context meaning discretisation-free) likelihood- based inference for discretely observed finite activity jump-diffusions. The only sources of error involved are Monte Carlo error and convergence of EM or MCMC algorithms. We shall introduce both frequentist and Bayesian approaches, illustrating the methodology through simulated and real examples.
Item Type: | Journal Article | |||||||||||||||||||||||||||
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Subjects: | H Social Sciences > HA Statistics Q Science > QA Mathematics |
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | |||||||||||||||||||||||||||
Library of Congress Subject Headings (LCSH): | Diffusion processes, Monte Carlo method, Stochastic processes -- Mathematical models, Probabilities -- Mathematical models | |||||||||||||||||||||||||||
Journal or Publication Title: | Journal of the Royal Statistical Society: Series B (Statistical Methodology) | |||||||||||||||||||||||||||
Publisher: | Oxford University Press | |||||||||||||||||||||||||||
ISSN: | 1369-7412 | |||||||||||||||||||||||||||
Official Date: | July 2023 | |||||||||||||||||||||||||||
Dates: |
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Volume: | 85 | |||||||||||||||||||||||||||
Number: | 3 | |||||||||||||||||||||||||||
Page Range: | pp. 732-756 | |||||||||||||||||||||||||||
DOI: | 10.1093/jrsssb/qkad022 | |||||||||||||||||||||||||||
Status: | Peer Reviewed | |||||||||||||||||||||||||||
Publication Status: | Published | |||||||||||||||||||||||||||
Access rights to Published version: | Open Access (Creative Commons) | |||||||||||||||||||||||||||
Date of first compliant deposit: | 27 March 2023 | |||||||||||||||||||||||||||
Date of first compliant Open Access: | 24 May 2023 | |||||||||||||||||||||||||||
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