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Bayesian inference for nonlinear multivariate diffusion models observed with error

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  • Golightly, A.
  • Wilkinson, D.J.

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  • Golightly, A. & Wilkinson, D.J., 2008. "Bayesian inference for nonlinear multivariate diffusion models observed with error," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1674-1693, January.
    • Handle: RePEc:eee:csdana:v:52:y:2008:i:3:p:1674-1693
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    References listed on IDEAS

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    1. Delyon, Bernard & Hu, Ying, 2006. "Simulation of conditioned diffusion and application to parameter estimation," Stochastic Processes and their Applications, Elsevier, vol. 116(11), pages 1660-1675, November.
    2. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    3. A. Golightly & D. J. Wilkinson, 2005. "Bayesian Inference for Stochastic Kinetic Models Using a Diffusion Approximation," Biometrics, The International Biometric Society, vol. 61(3), pages 781-788, September.
    4. Durham, Garland B & Gallant, A Ronald, 2002. "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 335-338, July.
    5. Kalogeropoulos, Konstantinos, 2007. "Likelihood-based inference for a class of multivariate diffusions with unobserved paths," LSE Research Online Documents on Economics 31423, London School of Economics and Political Science, LSE Library.
    6. Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001. "Likelihood Inference for Discretely Observed Nonlinear Diffusions," Econometrica, Econometric Society, vol. 69(4), pages 959-993, July.
    7. Chan, K C, et al, 1992. "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
    8. Alexandros Beskos & Omiros Papaspiliopoulos & Gareth O. Roberts & Paul Fearnhead, 2006. "Exact and computationally efficient likelihood‐based estimation for discretely observed diffusion processes (with discussion)," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(3), pages 333-382, June.
    9. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    10. Eraker, Bjorn, 2001. "MCMC Analysis of Diffusion Models with Application to Finance," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 177-191, April.
    11. Durham, Garland B & Gallant, A Ronald, 2002. "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 297-316, July.
    12. Osnat Stramer & Jun Yan, 2007. "Asymptotics of an Efficient Monte Carlo Estimation for the Transition Density of Diffusion Processes," Methodology and Computing in Applied Probability, Springer, vol. 9(4), pages 483-496, December.
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