Exact Monte Carlo likelihood-based inference for jump-diffusion processes
跳跃扩散过程的精确蒙特卡洛似然推断
Abstract Statistical inference for discretely observed jump-diffusion processes is a complex problem which motivates new methodological challenges. Thus, existing approaches invariably resort to time-discretisations which inevitably lead to approximations in inference. In this paper, we give the first general collection of methodologies for exact (in this context meaning discretisation-free) likelihood-based inference for discretely observed finite activity jump-diffusions.…