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

DOI10.1214/17-EJS1290zbMath1378.62050arXiv1406.4704OpenAlexW3104146538MaRDI QIDQ2396348

Moritz Schauer, Frank H. van der Meulen

Publication date: 8 June 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.4704

zbMATH Keywords

linear processinnovation processdata augmentationFitzhugh-Nagumo modeldiscretisation of path integralmultidimensional diffusion bridgenon-centred parametrisation

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Diffusion processes (60J60)

Related Items (19)

Online Smoothing for Diffusion Processes Observed with Noise ⋮ Diffusion Bridges for Stochastic Hamiltonian Systems and Shape Evolutions ⋮ Bayesian estimation of incompletely observed diffusions ⋮ Stability of sampling proposals for reducible diffusions over large time intervals ⋮ A geometric framework for stochastic shape analysis ⋮ Flexible Bayesian inference for diffusion processesusing splines ⋮ Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions ⋮ Nonparametric Bayesian volatility learning under microstructure noise ⋮ Conditioning diffusions with respect to incomplete observations ⋮ Improved bridge constructs for stochastic differential equations ⋮ Simulation of elliptic and hypo-elliptic conditional diffusions ⋮ Continuous-discrete smoothing of diffusions ⋮ Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations ⋮ A piecewise deterministic Monte Carlo method for diffusion bridges ⋮ BayesEstDiffusion.jl ⋮ Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient ⋮ Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models ⋮ Nonparametric Bayesian inference for reversible multidimensional diffusions ⋮ Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes

Uses Software

• Bridge.jl

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