Unbiased parameter inference for a class of partially observed Lévy-process models

DOI10.3934/FODS.2022008zbMath1489.62004arXiv2112.13874OpenAlexW4226019221MaRDI QIDQ2148969

Ajay Jasra, Hamza M. Ruzayqat

Publication date: 24 June 2022

Published in: Foundations of Data Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2112.13874

zbMATH Keywords

hidden Markov modelsLévy processmultilevel/sequential Monte Carlo methodsunbiased inference

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (2)

Unbiased Estimation Using Underdamped Langevin Dynamics ⋮ Bayesian parameter inference for partially observed stochastic volterra equations

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