TY  - JOUR
Y1  - 2013/06/01/
ID  - discovery10045549
SN  - 1467-9469
A1  - Sermaidis, G
A1  - Papaspiliopoulos, O
A1  - Roberts, GO
A1  - Beskos, A
A1  - Fearnhead, P
N1  - This version is the author accepted manuscript. For information on re-use, please refer to the publisher?s terms and conditions.
IS  - 2
JF  - Scandinavian Journal of Statistics
UR  - http://dx.doi.org/10.1111/j.1467-9469.2012.00812.x
EP  - 321
TI  - Markov Chain Monte Carlo for Exact Inference for Diffusions
SP  - 294
AV  - public
KW  - Gaussian measure
KW  -  di?usion process
KW  -  covariance operator
KW  - 
Hamiltonian dynamics
KW  -  mixing time
KW  -  stochastic volatility
VL  - 40
N2  - We develop exact Markov chain Monte Carlo methods for discretely sampled, directly and indirectly observed diffusions. The qualification 'exact' refers to the fact that the invariant and limiting distribution of the Markov chains is the posterior distribution of the parameters free of any discretization error. The class of processes to which our methods directly apply are those which can be simulated using the most general to date exact simulation algorithm. The article introduces various methods to boost the performance of the basic scheme, including reparametrizations and auxiliary Poisson sampling. We contrast both theoretically and empirically how this new approach compares to irreducible high frequency imputation, which is the state-of-the-art alternative for the class of processes we consider, and we uncover intriguing connections. All methods discussed in the article are tested on typical examples. © 2012 Board of the Foundation of the Scandinavian Journal of Statistics.
ER  -