A regularized bridge sampler for sparsely sampled diffusions

DOI10.1007/s11222-011-9255-yzbMath1322.62211OpenAlexW1985954067MaRDI QIDQ746239

Erik Lindström

Publication date: 16 October 2015

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-011-9255-y

zbMATH Keywords

time seriesMonte Carlo methodsdiffusion processesMCMCbridge sampler

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sampling theory, sample surveys (62D05) Diffusion processes (60J60)

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