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February 2021 Corrigendum to “Simple simulation of diffusion bridges with application to likelihood inference for diffusions”
Mogens Bladt, Marcin Mider, Michael Sørensen
Bernoulli 27(1): 218-220 (February 2021). DOI: 10.3150/20-BEJ1234

Abstract

We correct an error in Theorem 2.1 in Bladt and Sørensen (Bernoulli 20 (2014) 645–675), where the initial distribution of an auxiliary diffusion process that is used to describe the distribution of the proposed approximate diffusion bridge is wrong. As a consequence, we also correct the pseudo marginal Metropolis-Hastings algorithm that has an exact diffusion bridge as its target distribution. The same auxiliary diffusion plays a central role in the algorithm.

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Mogens Bladt. Marcin Mider. Michael Sørensen. "Corrigendum to “Simple simulation of diffusion bridges with application to likelihood inference for diffusions”." Bernoulli 27 (1) 218 - 220, February 2021. https://doi.org/10.3150/20-BEJ1234

Information

Received: 1 May 2020; Published: February 2021
First available in Project Euclid: 20 November 2020

zbMATH: 07282848
MathSciNet: MR4177367
Digital Object Identifier: 10.3150/20-BEJ1234

Keywords: diffusion bridge , discretely sampled diffusions , pseudo-marginal MCMC

Rights: Copyright © 2021 Bernoulli Society for Mathematical Statistics and Probability

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Vol.27 • No. 1 • February 2021
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