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math.ST2024
Efficient estimation for ergodic diffusion processes sampled at high frequency
Michael Sørensen
A general theory of efficient estimation for ergodic diffusion processes sampled at high frequency with an infinite time horizon is presented. High frequency sampling is common in…
math.ST2014★ 12 cited
Simulation of multivariate diffusion bridge
Mogens Bladt, Samuel Finch, Michael Sørensen
We propose simple methods for multivariate diffusion bridge simulation, which plays a fundamental role in simulation-based likelihood and Bayesian inference for stochastic differen…
math.ST2014★ 58 cited
Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Mogens Bladt, Michael Sørensen
With a view to statistical inference for discretely observed diffusion models, we propose simple methods of simulating diffusion bridges, approximately and exactly. Diffusion bridg…