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Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Mogens Bladt,
Michael Sørensen
Department of Mathematical Sciences
18
Citations (Scopus)
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Dive into the research topics of 'Simple simulation of diffusion bridges with application to likelihood inference for diffusions'. Together they form a unique fingerprint.
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Mathematics
Approximation
4%
Bayesian inference
9%
Computational Complexity
8%
Diffusion Model
10%
Diffusion Process
25%
EM Algorithm
9%
Exact Method
10%
Exact Simulation
13%
Interval
15%
Likelihood Inference
100%
Likely
8%
Metropolis-Hastings Algorithm
11%
Simulation
51%
Simulation Methods
31%
Simulation Study
6%
Statistical Inference
17%
Time Reversibility
13%