Likelihood Inference for Discretely Observed Nonlinear Diffusions

• 1 July 2001
• journal article
• Published by The Econometric Society in Econometrica
• Vol. 69  (4) , 959-993
• https://doi.org/10.1111/1468-0262.00226

Abstract

Keywords

• BAYES ESTIMATION
• NONLINEAR DIFFUSION
• EULER‐MARUYAMA APPROXIMATION
• MAXIMUM LIKELIHOOD
• MARKOV CHAIN MONTE CARLO
• METROPOLIS HASTINGS ALGORITHM
• MISSING DATA
• SIMULATION
• STOCHASTIC DIFFERENTIAL EQUATION

All Related Versions

• Version 1, 2000-01-01, RePEc (Unconfirmed version)