1. Diffusion on the circle and a stochastic correlation model. (2024). Laha, Arnab Kumar ; Majumdar, Sourav.
   In: Papers.
   RePEc:arx:papers:2412.06343.

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2. Contrast estimation for noisy observations of diffusion processes via closed-form density expansions. (2022). Navarro, Fabien ; el Kolei, Salima.
   In: Statistical Inference for Stochastic Processes.
   RePEc:spr:sistpr:v:25:y:2022:i:2:d:10.1007_s11203-021-09256-2.

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3. Approximate maximum likelihood estimation for one?dimensional diffusions observed on a fine grid. (2022). Preston, Simon P ; Paine, Phillip J ; Lu, Kevin W.
   In: Scandinavian Journal of Statistics.
   RePEc:bla:scjsta:v:49:y:2022:i:3:p:1085-1114.

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4. Rao–Blackwellisation in the Markov Chain Monte Carlo Era. (2021). Roberts, Gareth.
   In: International Statistical Review.
   RePEc:bla:istatr:v:89:y:2021:i:2:p:237-249.

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5. .

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6. Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations. (2020). Samson, Adeline ; Clairon, Quentin.
   In: Statistical Inference for Stochastic Processes.
   RePEc:spr:sistpr:v:23:y:2020:i:1:d:10.1007_s11203-019-09199-9.

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7. Importance sampling type estimators based on approximate marginal Markov chain Monte Carlo. (2020). Franks, Jordan ; Helske, Jouni ; Vihola, Matti.
   In: Scandinavian Journal of Statistics.
   RePEc:bla:scjsta:v:47:y:2020:i:4:p:1339-1376.

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8. Quasi?stationary Monte Carlo and the ScaLE algorithm. (2020). Johansen, Adam ; Fearnhead, Paul ; Pollock, Murray ; Roberts, Gareth O.
   In: Journal of the Royal Statistical Society Series B.
   RePEc:bla:jorssb:v:82:y:2020:i:5:p:1167-1221.

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9. Zero-Inflated Regime-Switching Stochastic Differential Equation Models for Highly Unbalanced Multivariate, Multi-Subject Time-Series Data. (2019). Cole, Pamela M ; Ram, Nilam ; Chow, Sy-Miin ; Lu, Zhao-Hua.
   In: Psychometrika.
   RePEc:spr:psycho:v:84:y:2019:i:2:d:10.1007_s11336-019-09664-7.

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10. Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes. (2019). Lee, Jong Mun ; Kang, Wanmo.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:44:y:2019:i:1:p:334-353.

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11. Bayesian inference of the fractional Ornstein–Uhlenbeck process under a flow sampling scheme. (2018). Tsionas, Mike ; Simos, Theodore.
    In: Computational Statistics.
    RePEc:spr:compst:v:33:y:2018:i:4:d:10.1007_s00180-018-0799-6.

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12. Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks. (2017). Targino, Rodrigo ; Peters, Gareth W ; Wuthrich, Mario V.
    In: Risks.
    RePEc:gam:jrisks:v:5:y:2017:i:4:p:53-:d:112832.

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13. Approximate maximum likelihood estimation using data-cloning ABC. (2017). Picchini, Umberto ; Anderson, Rachele .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:105:y:2017:i:c:p:166-183.

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14. A Bayesian hidden Markov mixture model to detect overexpressed chromosome regions. (2017). Mayrink, Vinicius Diniz ; Gonalves, Flavio Bambirra.
    In: Journal of the Royal Statistical Society Series C.
    RePEc:bla:jorssc:v:66:y:2017:i:2:p:387-412.

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15. Fitting Nonlinear Ordinary Differential Equation Models with Random Effects and Unknown Initial Conditions Using the Stochastic Approximation Expectation–Maximization (SAEM) Algorithm. (2016). Zhu, Hongtu ; Sherwood, Andrew ; Lu, Zhaohua ; Chow, Sy-Miin.
    In: Psychometrika.
    RePEc:spr:psycho:v:81:y:2016:i:1:p:102-134.

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16. Simulation of Tempered Stable Lévy Bridges and Its Applications. (2016). Kim, Kyoung-Kuk.
    In: Operations Research.
    RePEc:inm:oropre:v:64:y:2016:i:2:p:495-509.

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17. Modelling and predicting electricity consumption in Spain using the stochastic Gamma diffusion process with exogenous factors. (2016). Nafidi, A ; el Hachimi, S ; Ramos-Abalos, E ; Gutierrez-Sanchez, R.
    In: Energy.
    RePEc:eee:energy:v:113:y:2016:i:c:p:309-318.

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18. A Nonparametric Model for Stationary Time Series. (2016). Antoniano-Villalobos, Isadora ; Walker, Stephen G.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:37:y:2016:i:1:p:126-142.

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19. Simulation of multivariate diffusion bridges. (2016). Bladt, Mogens ; Sorensen, Michael ; Finch, Samuel .
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:78:y:2016:i:2:p:343-369.

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20. A first step to implement Gillespie’s algorithm with rejection sampling. (2015). Duan, Qihong ; Liu, Junrong.
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:24:y:2015:i:1:p:85-95.

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21. Bayesian State-Space Modelling on High-Performance Hardware Using LibBi. (2015). Murray, Lawrence M.
    In: Journal of Statistical Software.
    RePEc:jss:jstsof:v:067:i10.

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22. Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval. (2015). Sorensen, Michael ; Jakobsen, Nina Munkholt .
    In: CREATES Research Papers.
    RePEc:aah:create:2015-33.

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23. Importance sampling for Kolmogorov backward equations. (2014). Singer, Hermann.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:98:y:2014:i:4:p:345-369.

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24. The delta expansion for the transition density of diffusion models. (2014). Lee, Eun-Kyung ; Song, Seongjoo .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:178:y:2014:i:p3:p:694-705.

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25. Reversible jump MCMC for nonparametric drift estimation for diffusion processes. (2014). van der Meulen, Frank ; Schauer, Moritz ; van Zanten, Harry.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:71:y:2014:i:c:p:615-632.

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26. Inference for reaction networks using the linear noise approximation. (2014). Sherlock, Chris ; Giagos, Vasilieos ; Fearnhead, Paul.
    In: Biometrics.
    RePEc:bla:biomet:v:70:y:2014:i:2:p:457-466.

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27. Simulation of multivariate diffusion bridges. (2014). Finch, Samuel ; Bladt, Mogens ; Sorensen, Michael.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-16.

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28. Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering. (2013). Sarkka, Simo ; Mbalawata, Isambi ; Haario, Heikki .
    In: Computational Statistics.
    RePEc:spr:compst:v:28:y:2013:i:3:p:1195-1223.

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29. Advanced MCMC methods for sampling on diffusion pathspace. (2013). Kalogeropoulos, Konstantinos ; Beskos, Alexandros ; Pazos, Erik .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:123:y:2013:i:4:p:1415-1453.

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30. Filtering for partially observed diffusion and its applications. (2013). Shoji, Isao.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:20:p:4966-4976.

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31. Parameter estimation for multivariate diffusion systems. (2013). Varughese, Melvin M..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:57:y:2013:i:1:p:417-428.

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32. Bayesian Computational Tools. (2013). Robert, Christian P..
    In: Working Papers.
    RePEc:crs:wpaper:2013-45.

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33. Markov Chain Monte Carlo for Exact Inference for Diffusions. (2013). Beskos, Alexandros ; Fearnhead, Paul ; Papaspiliopoulos, Omiros ; SERMAIDIS, GIORGOS ; Roberts, Gareth O..
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:40:y:2013:i:2:p:294-321.

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34. A Multiresolution Method for Parameter Estimation of Diffusion Processes. (2012). Olding, Benjamin P. ; Kou, S. C. ; Lysy, Martin ; Liu, Jun S..
    In: Journal of the American Statistical Association.
    RePEc:taf:jnlasa:v:107:y:2012:i:500:p:1558-1574.

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35. Variational Markov chain Monte Carlo for Bayesian smoothing of non-linear diffusions. (2012). Shen, Yuan ; Opper, Manfred ; Cornford, Dan ; Archambeau, Cedric .
    In: Computational Statistics.
    RePEc:spr:compst:v:27:y:2012:i:1:p:149-176.

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36. Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms. (2011). Singer, Hermann.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:95:y:2011:i:4:p:375-413.

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37. On the Approximate Maximum Likelihood Estimation for Diffusion Processes. (2011). Chang, Jinyuan ; Chen, Song Xi ; Song Xi Chen, .
    In: MPRA Paper.
    RePEc:pra:mprapa:46279.

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38. Stochastic Functional Data Analysis: A Diffusion Model-Based Approach. (2011). Zhu, Bin ; Peter X.-K. Song, ; Peter X.-K. Song, ; Jeremy M. G. Taylor, .
    In: Biometrics.
    RePEc:bla:biomet:v:67:y:2011:i:4:p:1295-1304.

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39. Contrast-based information criterion for ergodic diffusion processes from discrete observations. (2010). Uchida, Masayuki.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:62:y:2010:i:1:p:161-187.

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40. Inference for stochastic volatility models using time change transformations. (2010). Kalogeropoulos, Konstantinos ; Dellaportas, Petros ; Roberts, Gareth O..
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:31421.

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41. Stochastic Differential Mixed-Effects Models. (2010). DE GAETANO, ANDREA ; Picchini, Umberto ; Ditlevsen, Susanne .
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:37:y:2010:i:1:p:67-90.

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42. Geostatistical inference under preferential sampling. (2010). Diggle, Peter J. ; Su, Ting-li ; Menezes, Raquel.
    In: Journal of the Royal Statistical Society Series C.
    RePEc:bla:jorssc:v:59:y:2010:i:2:p:191-232.

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43. Random-weight particle filtering of continuous time processes. (2010). Papaspiliopoulos, Omiros ; Stuart, Andrew ; Fearnhead, Paul ; Roberts, Gareth O..
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:72:y:2010:i:4:p:497-512.

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44. Nonparametric adaptive estimation for integrated diffusions. (2009). Comte, F. ; Rozenholc, Y. ; Genon-Catalot, V..
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:119:y:2009:i:3:p:811-834.

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45. Laplace approximation of transition densities posed as Brownian expectations. (2009). Markussen, BO.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:119:y:2009:i:1:p:208-231.

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46. A Bayesian regression model for multivariate functional data. (2009). Rosen, Ori ; Thompson, Wesley K..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:11:p:3773-3786.

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47. Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations. (2009). Chopin, Nicolas ; HÅVARD RUE, ; Martino, Sara .
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:71:y:2009:i:2:p:319-392.

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48. Parameter estimation for partially observed hypoelliptic diffusions. (2009). Stuart, Andrew M. ; Pokern, Yvo ; Wiberg, Petter .
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:71:y:2009:i:1:p:49-73.

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49. Brownian Motion and Ornstein–Uhlenbeck Processes in Planar Shape Space. (2008). Ball, Frank G ; Golalizadeh, Mousa ; Dryden, Ian L.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:10:y:2008:i:1:d:10.1007_s11009-007-9042-6.

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50. Hierarchical Models in the Brain. (2008). Friston, Karl.
    In: PLOS Computational Biology.
    RePEc:plo:pcbi00:1000211.

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51. Simulation of jump diffusions and the pricing of options. (2008). McLeish, Don ; DiCesare, Joe.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:43:y:2008:i:3:p:316-326.

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52. Bayesian inference for nonlinear multivariate diffusion models observed with error. (2008). Golightly, A. ; Wilkinson, D. J..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:52:y:2008:i:3:p:1674-1693.

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53. The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes. (2008). Sørensen, Michael ; FORMAN, JULIE LYNG ; SRENSEN, MICHAEL.
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:35:y:2008:i:3:p:438-465.

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54. Particle filters for partially observed diffusions. (2008). Papaspiliopoulos, Omiros ; Roberts, Gareth O. ; Fearnhead, Paul.
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:70:y:2008:i:4:p:755-777.

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55. Parametric inference for discretely sampled stochastic differential equations. (2008). Sørensen, Michael ; Sorensen, Michael.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-18.

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56. Asymptotics of an Efficient Monte Carlo Estimation for the Transition Density of Diffusion Processes. (2007). Stramer, Osnat ; Yan, Jun.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:9:y:2007:i:4:d:10.1007_s11009-006-9006-2.

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57. Likelihood-based inference for a class of multivariate diffusions with unobserved paths. (2007). Kalogeropoulos, Konstantinos.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:31423.

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58. Indirect robust estimation of the short-term interest rate process. (2007). Karolyi, G. ; Ronchetti, Elvezio ; Czellar, Veronika .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:4:p:546-563.

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59. Parameter estimation for differential equations: a generalized smoothing approach. (2007). Campbell, D. ; Ramsay, J. O. ; Cao, J. ; Hooker, G..
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:69:y:2007:i:5:p:741-796.

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60. Likelihood-based inference for correlated diffusions. (2007). Kalogeropoulos, Konstantinos ; Dellaportas, Petros ; Roberts, Gareth O..
    In: Papers.
    RePEc:arx:papers:0711.1595.

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61. Inference for stochastic volatility models using time change transformations. (2007). Kalogeropoulos, Konstantinos ; Dellaportas, Petros ; Roberts, Gareth O..
    In: Papers.
    RePEc:arx:papers:0711.1594.

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1. Properties of marginal sequential Monte Carlo methods. (2023). Johansen, Adam ; Crucinio, Francesca R.
   In: Statistics & Probability Letters.
   RePEc:eee:stapro:v:203:y:2023:i:c:s0167715223001384.

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2. The Computational Cost of Blocking for Sampling Discretely Observed Diffusions. (2022). Roberts, Gareth O ; Pollock, Murray ; Jenkins, Paul A ; Mider, Marcin.
   In: Methodology and Computing in Applied Probability.
   RePEc:spr:metcap:v:24:y:2022:i:4:d:10.1007_s11009-022-09949-y.

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3. Unbiased Simulation of Rare Events in Continuous Time. (2022). Johansen, Adam ; Pollock, Murray ; Hodgson, James .
   In: Methodology and Computing in Applied Probability.
   RePEc:spr:metcap:v:24:y:2022:i:3:d:10.1007_s11009-021-09886-2.

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4. Making inference of British households happiness efficiency: A Bayesian latent model. (2021). Tsionas, Mike G ; Mamatzakis, Emmanuel C.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:294:y:2021:i:1:p:312-326.

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5. A Bayesian Signals Approach for the Detection of Crises. (2020). Tsionas, Mike ; Michaelides, Panayotis ; Xidonas, Panos.
   In: Journal of Quantitative Economics.
   RePEc:spr:jqecon:v:18:y:2020:i:3:d:10.1007_s40953-019-00186-8.

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6. Advanced Multilevel Monte Carlo Methods. (2020). Suciu, Carina ; Law, Kody ; Jasra, Ajay .
   In: International Statistical Review.
   RePEc:bla:istatr:v:88:y:2020:i:3:p:548-579.

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7. Bayesian State-Space Modelling on High-Performance Hardware Using LibBi. (2015). Murray, Lawrence M.
   In: Journal of Statistical Software.
   RePEc:jss:jstsof:v:067:i10.

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8. Capturing the time-varying drivers of an epidemic using stochastic dynamical systems. (2013). Kalogeropoulos, Konstantinos ; Dureau, Joseph ; Baguelin, Marc .
   In: LSE Research Online Documents on Economics.
   RePEc:ehl:lserod:41749.

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9. Advanced MCMC methods for sampling on diffusion pathspace. (2013). Kalogeropoulos, Konstantinos ; Beskos, Alexandros ; Pazos, Erik .
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:123:y:2013:i:4:p:1415-1453.

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10. Filtering for partially observed diffusion and its applications. (2013). Shoji, Isao.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:20:p:4966-4976.

    Full description at Econpapers || Download paper

11. Quasi-maximum likelihood estimation of multivariate diffusions. (2013). Xiao, Huang .
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:17:y:2013:i:2:p:179-197:n:4.

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12. SMC-super-2: an efficient algorithm for sequential analysis of state space models. (2013). Chopin, Nicolas ; Jacob, P. E. ; Papaspiliopoulos, O..
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:75:y:2013:i:3:p:397-426.

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13. Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms. (2011). Singer, Hermann.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:95:y:2011:i:4:p:375-413.

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14. Smoothing algorithms for state–space models. (2010). Maskell, Simon ; Briers, Mark ; Doucet, Arnaud.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:62:y:2010:i:1:p:61-89.

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15. Inference for stochastic volatility models using time change transformations. (2010). Kalogeropoulos, Konstantinos ; Dellaportas, Petros ; Roberts, Gareth O..
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:31421.

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16. Geostatistical inference under preferential sampling. (2010). Diggle, Peter J. ; Su, Ting-li ; Menezes, Raquel.
    In: Journal of the Royal Statistical Society Series C.
    RePEc:bla:jorssc:v:59:y:2010:i:2:p:191-232.

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17. Random-weight particle filtering of continuous time processes. (2010). Papaspiliopoulos, Omiros ; Stuart, Andrew ; Fearnhead, Paul ; Roberts, Gareth O..
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:72:y:2010:i:4:p:497-512.

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18. Parametric estimation for partially hidden diffusion processes sampled at discrete times. (2009). Iacus, Stefano ; Uchida, Masayuki ; Yoshida, Nakahiro.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:119:y:2009:i:5:p:1580-1600.

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19. A note on auxiliary particle filters. (2008). Johansen, Adam ; Doucet, Arnaud.
    In: Statistics & Probability Letters.
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20. Bayesian inference for nonlinear multivariate diffusion models observed with error. (2008). Golightly, A. ; Wilkinson, D. J..
    In: Computational Statistics & Data Analysis.
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21. Exact retrospective Monte Carlo computation of arithmetic average Asian options. (2007). Benjamin, JOURDAIN ; Mohamed, Sbai .
    In: Monte Carlo Methods and Applications.
    RePEc:bpj:mcmeap:v:13:y:2007:i:2:p:135-171:n:3.

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22. Likelihood-based inference for correlated diffusions. (2007). Kalogeropoulos, Konstantinos ; Dellaportas, Petros ; Roberts, Gareth O..
    In: Papers.
    RePEc:arx:papers:0711.1595.

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23. Inference for stochastic volatility models using time change transformations. (2007). Kalogeropoulos, Konstantinos ; Dellaportas, Petros ; Roberts, Gareth O..
    In: Papers.
    RePEc:arx:papers:0711.1594.

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24. Exact and computationally efficient likelihood-based estimation for discretely observed diffusion processes (with discussion). (2006). Papaspiliopoulos, Omiros ; Beskos, Alexandros ; Fearnhead, Paul ; Roberts, Gareth O..
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:68:y:2006:i:3:p:333-382.

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