Simple simulation of diffusion bridges with application to likelihood inference for diffusions
M Bladt, M Sørensen - 2014 - projecteuclid.org
… Diffusion bridge simulation is also crucial to simulation-based inference for other types of diffusion process data than discrete time observations. Chib, Pitt and Shephard [16] presented …
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… Diffusion bridge simulation is also crucial to simulation-based inference for other types of diffusion process data than discrete time observations. Chib, Pitt and Shephard [16] presented …