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Likelihood based inference for correlated diffusions

Kalogeropoulos, Konstantinos, 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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Abstract

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
Official URL: http://onlinelibrary.wiley.com/journal/10.1002/(IS...
Additional Information: © 2011 Statistical Society of Canada
Library of Congress subject classification: Q Science > QA Mathematics
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C11 - Bayesian Analysis
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C15 - Statistical Simulation Methods; Monte Carlo Methods; Bootstrap Methods
C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models
Sets: Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 11 Jan 2011 15:09
URL: http://eprints.lse.ac.uk/31354/

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