Concepedia

Inference For Diffusion Processes

Inference for Diffusion Processes is a statistical methodology within stochastic differential equations that specifically involves estimating parameters, latent states, or model structure of diffusion processes from discrete or noisy observations, distinguished by its focus on continuous-time Markov processes governed by stochastic dynamics.

308

Publications

15.2K

Citations

527

Authors

310

Institutions

Publications per year

2017–2026

99

Parents

Publications

308

Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach

Yacine Aı̈t-Sahalia · Econometrica · 2002 · 949 citations

, , +17

On covariance estimation of non-synchronously observed diffusion processes

Takaki Hayashi, Nakahiro Yoshida · Bernoulli · 2005 · 425 citations · Full text

, , +11

Improved Denoising Diffusion Probabilistic Models

Alex Nichol, Prafulla Dhariwal · arXiv (Cornell University) · 2021 · 412 citations · Full text

, , +14

Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)

Alexandros Beskos, Omiros Papaspiliopoulos, Gareth O. Roberts et al. · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2006 · 356 citations · Full text

, , +16

Martingale Estimation Functions for Discretely Observed Diffusion Processes

Bo Martin Bibby, Michael Sørensen, Michael Sørensen · Bernoulli · 1995 · 353 citations

, , +16

1–5 of 308

Authors

527

  1. GO
    Gareth O. Roberts

    University of Warwick, United Kingdom

    11 publications · 1.2K citations

    11

    h-index

  2. NY
    Nakahiro Yoshida

    The University of Tokyo, Japan

    11 publications · 1.1K citations

    10

    h-index

  3. MS
    Michael Sørensen

    University of Copenhagen, Denmark

    12 publications · 1.5K citations

    9

    h-index

  4. OP
    Omiros Papaspiliopoulos

    Universitat Pompeu Fabra, Spain

    8 publications · 819 citations

    8

    h-index

  5. AB
    Alexandros Beskos

    University College London, United Kingdom

    7 publications · 710 citations

    7

    h-index

1–5 of 527

Institutions

310

  1. University of Warwick

    Coventry, United Kingdom

    13 h-index

    23 publications

    1.4K citations

  2. Centre National de la Recherche Scientifique

    Paris, France

    11 h-index

    16 publications

    426 citations

  3. Université Paris Cité

    Paris, France

    11 h-index

    15 publications

    498 citations

  4. University of Copenhagen

    Copenhagen, Denmark

    10 h-index

    14 publications

    1.2K citations

  5. The University of Osaka

    Osaka, Japan

    10 h-index

    14 publications

    402 citations

  6. University of Amsterdam

    Amsterdam, The Netherlands

    9 h-index

    13 publications

    894 citations

  7. The University of Tokyo

    Tokyo, Japan

    8 h-index

    8 publications

    634 citations

  8. Universidad de Granada

    Granada, Spain

    8 h-index

    21 publications

    524 citations

1–8 of 310

Venues

  1. arXiv (Cornell University)

    Repository · 24 publications · 1.1K citations

    15

    h-index

  2. Bernoulli

    15 publications · 1.7K citations

    15

    h-index

  3. The Annals of Statistics

    9 publications · 368 citations

    10

    h-index

  4. Computational Statistics & Data Analysis

    CSDA · 9 publications · 336 citations

    9

    h-index

  5. Scandinavian Journal of Statistics

    9 publications · 483 citations

    9

    h-index

1–5