Seminars in Statistics
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Seminars in Statistics Krzysztof Łatuszyński (University of Warwick)
Seminars in Statistics Krzysztof Łatuszyński (University of Warwick)
Exact Bayesian inference for discretely observed jump-diffusions The standard approach to inference for parametric diffusion processesrelies on discretisation techniques (such as the Euler method) thatintroduce an approximation error difficult to quantify especially fordiscontinuous models, like jump-diffusions.In this talk, I will present methodology for exact inference thatavoids discretisation errors and allows to design MCMC samplerstargeting the…