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Corrigendum to ‘Simulation of multivariate diffusion bridges’

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  • Mogens Bladt
  • Samuel Finch
  • Michael Sørensen

Abstract

We correct an error in Theorem 1 in Bladt et al. (2016) Journal of the Royal Statistical Society: Series B, 78, 343–369 by changing the initial distribution of an auxiliary diffusion process, which is used to describe the distribution of the proposed approximate diffusion bridges. As a consequence, we correct two algorithms for simulating exact diffusion bridges by changing the initial distribution of auxiliary diffusion processes in the same way. Simulation studies affected by the error are redone.

Suggested Citation

  • Mogens Bladt & Samuel Finch & Michael Sørensen, 2022. "Corrigendum to ‘Simulation of multivariate diffusion bridges’," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(4), pages 1581-1585, September.
    • Handle: RePEc:bla:jorssb:v:84:y:2022:i:4:p:1581-1585
    DOI: 10.1111/rssb.12512
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