Blar i NHH Brage på emneord "gibbs sampler"
Viser treff 1-1 av 1
-
MCMC analysis of diffusion models with application to finance
(Discussion paper, Working paper, 1998-03)In this paper a new method is proposed for estimation of parameters in diffusion processes from discrete observations. The proposed simulation based MCMC methodology applies to a wide class of models including systems with ...