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Likelihood based inference for correlated diffusions

Kalogeropoulos, Konstantinos and Dellaportas, Petros and Roberts, Gareth O. (2011) Likelihood based inference for correlated diffusions. Canadian Journal of Statistics, 39 (1). pp. 52-72. ISSN 0319-5724

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Identification Number: 10.1002/cjs.10096


The authors address the problem of likelihood based inference for correlated diffusions. Such a task presents two issues; the positive definite constraints of the diffusion matrix and the likelihood intractability. The first issue is handled by using the Cholesky factorisation on the diffusion matrix. To deal with the likelihood unavailability, a generalisation of the data augmentation framework of Roberts and Stramer (2001 Biometrika 88(3), 603-621) to d-dimensional correlated diffusions, including multivariate stochastic volatility models, is given. The methodology is illustrated through simulated and real datasets.

Item Type: Article
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Additional Information: © 2011 Statistical Society of Canada
Subjects: Q Science > QA Mathematics
Sets: Departments > Statistics
Date Deposited: 11 Jan 2011 15:09
Last Modified: 30 May 2014 10:35

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