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Parametric estimation of discretely observed diffusions using the EM algorithm

By Omiros Papaspiliopoulos and Giorgos Sermaidis


In this paper we report ongoing work on parametric estimation for diffusions using Monte Carlo EM algorithms. The work presented here has already been extended to high dimensional problems and models with observation errors

Topics: QA
Publisher: University of Warwick. Centre for Research in Statistical Methodology
Year: 2007
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