Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes

DOI10.1007/S11222-022-10083-5zbMath1482.62011arXiv2009.05318OpenAlexW3086712597MaRDI QIDQ2114055

Andrew Golightly, Chris Sherlock

Publication date: 14 March 2022

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.05318

zbMATH Keywords

stochastic differential equationBayesian inferencedata augmentationlinear noise approximationpseudo-marginal Metropolis-Hastings

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Uses Software

• CODA
• Bridge.jl
• BayesEstDiffusion.jl

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