Corrigendum to 'Simulation of multivariate diffusion bridges'. (26th April 2022)

• Record Type: Journal Article
• Authors: Bladt, Mogens; Finch, Samuel; Sørensen, Michael
• Is Part Of: Journal of the Royal Statistical Society. Volume 84:Number 4(2022)
• Page Start: 1581
• Page End: 1585
• Publication Date: 2022-04-26
• Subjects: Statistics -- Periodicals; Great Britain -- Statistics -- Periodicals; 519.2
• DOI: 10.1111/rssb.12512
• Languages: English
• ISSNs: 1369-7412

Abstract

Abstract: 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.