Simulation of multivariate diffusion bridges (vol 78, pg 343, 2016)
成果类型：
Correction
署名作者：
Bladt, Mogens; Finch, Samuel; Sorensen, Michael
署名单位：
University of Copenhagen
刊物名称：
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
ISSN/ISSBN：
1369-7412
DOI：
10.1111/rssb.12512
发表日期：
2022
页码：
1581-1585
关键词：
摘要：
We correct an error in Theorem 1 in Bladt et al. (2016) Journal of the Royal Statistical Society: Series B, 78, 343-369 by changing the initial distribution of an auxiliary diffusion process, which is used to describe the distribution of the proposed approximate diffusion bridges. As a consequence, we correct two algorithms for simulating exact diffusion bridges by changing the initial distribution of auxiliary diffusion processes in the same way. Simulation studies affected by the error are redone.