Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes (Q2114055): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes	scientific article

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scholarly article

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Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes (English)

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Andrew Golightly

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Statistics and Computing

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publication date

14 March 2022

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full work available at URL

https://arxiv.org/abs/2009.05318

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zbMATH Keywords

stochastic differential equation

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Bayesian inference

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pseudo-marginal Metropolis-Hastings

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data augmentation

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linear noise approximation

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describes a project that uses

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BayesEstDiffusion.jl

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MaRDI profile type

MaRDI publication profile

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Particle Markov Chain Monte Carlo for Efficient Numerical Simulation

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Particle Markov Chain Monte Carlo Methods

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The pseudo-marginal approach for efficient Monte Carlo computations

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A lognormal central limit theorem for particle approximations of normalizing constants

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An MCMC Algorithm for Parameter Estimation in Signals with Hidden Intermittent Instability

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The Correlated Pseudo-Marginal Method

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Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator

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Inference for reaction networks using the linear noise approximation

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Augmentation schemes for particle MCMC

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The parabolic differential equations and the associated semigroups of transformation

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Inference for Diffusion Processes

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Correlated pseudo-marginal schemes for time-discretised stochastic kinetic models

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Bayesian Inference for Stochastic Kinetic Models Using a Diffusion Approximation

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Bayesian inference for nonlinear multivariate diffusion models observed with error

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Inference for stochastic volatility models using time change transformations

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Normal forms for reduced stochastic climate models

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Scalable inference for Markov processes with intractable likelihoods

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On some properties of Markov chain Monte Carlo simulation methods based on the particle filter

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Particle approximations of the score and observed information matrix in state space models with application to parameter estimation

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On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm

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Guided proposals for simulating multi-dimensional diffusion bridges

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On the efficiency of pseudo-marginal random walk Metropolis algorithms

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Markov chain Monte Carlo inference for Markov jump processes via the linear noise approximation

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Bayesian inference for irreducible diffusion processes using the pseudo-marginal approach

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Bayesian inference for Heston-STAR models

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Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals

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Improved bridge constructs for stochastic differential equations

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S11222-022-10083-5

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Sitelinks

Mathematics(1 entry)

mardi Publication:2114055

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