Corrigendum to ‘Simulation of multivariate diffusion bridges’

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.