Likelihood inference for discretely observed non-linear diffusions
AbstractThis paper is concerned with the Bayesian estimation of non-linear stochastic differential equations when only discrete observations are available. The estimation is carried out using a tuned MCMC method, in particular a blocked Metropolis-Hastings algorithm, by introducing auxiliary points and using the Euler-Maruyama discretisation scheme. Techniques for computing the likelihood function, the marginal likelihood and diagnostic measures (all based on the MCMC output) are presented. Examples using simulated and real data are presented and discussed in detail.
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Bibliographic InfoPaper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 1998-W10.
Date of creation: 01 Aug 1998
Date of revision:
Bayes estimation; nonlinear diffusion; Euler-Maruyama approximation; Maximum Likelihood; Markov chain Monte Carlo; Metropolis Hastings algorithm; missing data; Simulation; Stochastic Differential Equation;
Other versions of this item:
- Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001. "Likelihood Inference for Discretely Observed Nonlinear Diffusions," Econometrica, Econometric Society, vol. 69(4), pages 959-93, July.
- Elerian, O. & Chib, S. & Shephard, N., 1998. "Likelihood INference for Discretely Observed Non-linear Diffusions," Economics Papers 146, Economics Group, Nuffield College, University of Oxford.
- Ola Elerian & Siddhartha Chib & Neil Shephard, 2000. "Likelihood inference for discretely observed non-linear diffusions," OFRC Working Papers Series 2000mf02, Oxford Financial Research Centre.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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