Exact and computationally efficient likelihood-based estimation for discretely observed diffusion processes (with discussion)
作者： Alexandros Beskos , Omiros Papaspiliopoulos , Gareth O. Roberts , Paul Fearnhead
DOI: 10.1111/J.1467-9868.2006.00552.X
关键词:
摘要: … and the Cox–Ingersoll–Ross (CIR) model for interest rates. The … a diffusion process outside 𝒟 2 , the CIR diffusion model, … scheme leads to a fraction of missing information equal to 1. …
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