The computational cost of blocking for sampling discretely observed diffusions

DOI10.1007/S11009-022-09949-YOpenAlexW3088699253MaRDI QIDQ2684952

Gareth O. Roberts, Marcin Mider, Paul A. Jenkins, Murray Pollock

Publication date: 17 February 2023

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.10440

zbMATH Keywords

diffusionGaussian processMarkov chain Monte CarloblockingBayesian inference

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Monte Carlo methods (65C05)

Uses Software

• BayesDA

Cites Work

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