Bayesian inference for irreducible diffusion processes using the pseudo-marginal approach

Bayesian Analysis

Volumn 6, Issue 2, 2011, Pages 231-258

  Stramer, Osnat ^a   Bognary, Matthew ^a  

^a UNIVERSITY OF IOWA   (United States)

Author keywords

Diffusion process; Euler discretization; Grouped independence metropolis hastings (GIMH); Markov chain monte carlo (MCMC); Monte carlo within metropolis (MCWM); Pseudo marginal (PM) algorithm

Indexed keywords

EID: 79958760698     PISSN: 19360975     EISSN: 19316690     Source Type: Journal    
DOI: 10.1214/11-BA608     Document Type: Article

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