Data Augmentation for Diffusions

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چکیده

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Data augmentation for diffusions

The problem of formal likelihood-based (either classical or Bayesian) inference for discretely observed multi-dimensional diffusions is particularly challenging. In principle this involves data-augmentation of the observation data to give representations of the entire diffusion trajectory. Most currently proposed methodology splits broadly into two classes: either through the discretisation of ...

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ژورنال

عنوان ژورنال: Journal of Computational and Graphical Statistics

سال: 2013

ISSN: 1061-8600,1537-2715

DOI: 10.1080/10618600.2013.783484