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SCB

Seminar

Importance sampling for diffusion processes

Papaspiliopoulos, O (Lancaster)
Thursday 02 November 2006, 14:00-15:15

Seminar Room 1, Newton Institute

Abstract

In this talk I will discuss various techniques for constructing importance sampling estimators which approximate expectations (e.g the likelihood function, filtering densities, etc) when modelling with diffusion processes.

Presentation

[pdf ]

Audio

MP3MP3

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