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Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals
Frank van der Meulen and Moritz Schauer
Electronic Journal of Statistics 2017 Vol. 11 No. 1 2358?2396
2017-06-26T17:21:52+03:00
LaTeX with hyperref package
2017-06-26T17:21:52+03:00
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62M05, 60J60, 62F15, 65C05Multidimensional diffusion bridge, data augmentation, discretisation of path integral, linear process, innovation process, non-centred parametrisation, FitzHugh-Nagumo model
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