1.Korteweg-de Vries Institute, University of Amsterdam, PO Box 94248, 1090GE, Amsterdam, The Netherlands ;2.ABN AMRO Bank N.V., Amsterdam, The Netherlands ;3.IMAPP, Radboud University, Nijmegen, The Netherlands ;
Abstract:
Statistical Inference for Stochastic Processes - In this paper we address the problem of estimating the posterior distribution of the static parameters of a continuous-time state space model with...