Likelihood inference for discretely observed nonlinear diffusions

Econometrica

Volumn 69, Issue 4, 2001, Pages 959-993

  Elerian, Ola ^c   Chib, Siddhartha ^a   Shephard, Neil ^b  

^a WASHINGTON UNIVERSITY   (United States)

^b NUFFIELD COLLEGE   (United Kingdom)

^c NONE

Author keywords

Bayes estimation; Euler Maruyama approximation; Markov chain Monte Carlo; Maximum likelihood; Metropolis Hastings algorithm; Missing data; Nonlinear diffusion; Simulation; Stochastic differential equation

Indexed keywords

EID: 0000440935     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00226     Document Type: Article

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