A methodological framework for Monte Carlo probabilistic inference for diffusion processes

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Papaspiliopoulos, Omiros;
  • Publisher: University of Warwick. Centre for Research in Statistical Methodology
  • Subject: QA

The methodological framework developed and reviewed in this article concerns the\ud unbiased Monte Carlo estimation of the transition density of a diffusion process, and\ud the exact simulation of diffusion processes. The former relates to auxiliary variable\ud methods,... View more
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