The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
Open accessAbstract
Summary: The objective of the paper is to present a novel methodology for likelihood-based inference for discretely observed diffusions. We propose Monte Carlo methods, which build on recent advances on the exact simulation of diffusions, for performing maximum likelihood and Bayesian estimation.
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Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
Rue, H., Martino, S., & Chopin, N. (2009) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.1467-9868.2008.00700.x · Cited by 5,279
Riemann manifold langevin and hamiltonian monte carlo methods
Girolami, M., & Calderhead, B. (2011) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.1467-9868.2010.00765.x · Cited by 1,473
Hierarchical Models in the Brain
Friston, K. (2008) · PLoS Computational Biology · doi:10.1371/journal.pcbi.1000211 · Cited by 952
Parameter estimation for differential equations: a generalized smoothing approach
Ramsay, J. O., Hooker, G., Campbell, D., & Cao, J. (2007) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.1467-9868.2007.00610.x · Cited by 613
Applied Stochastic Differential Equations
Särkkä, S., & Solin, A. (2019) · doi:10.1017/9781108186735 · Cited by 326
Metadata
- Authors
- Beskos, A., Papaspiliopoulos, O., Roberts, G. O., & Fearnhead, P.
- Venue
- Journal of the Royal Statistical Society Series B: Statistical Methodology
- Publisher
- Oxford University Press (OUP)
- Published
- 2006-05-15
- Volume
- 68
- Issue
- 3
- Pages
- 333-382
- ISSN
- 1369-7412 (ISSN-L)
- 1467-9868
- OpenAlex
- W2126750122
- Cited by
- 349
- References
- 1
- FWCI
- 21.35
- Type
- journal article
- Language
- en
- Open access
- bronze
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- The paper
- Beskos, A., Papaspiliopoulos, O., Roberts, G. O., & Fearnhead, P. (2006). Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion). Journal of the Royal Statistical Society Series B: Statistical Methodology. https://doi.org/10.1111/j.1467-9868.2006.00552.x
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
