Unbiased Inference for Discretely Observed Hidden Markov Model Diffusions

DOI10.1137/20M131549XzbMath1464.62038arXiv1807.10259OpenAlexW3169236455WikidataQ109746412 ScholiaQ109746412MaRDI QIDQ4995123

Jordan Franks, Ajay Jasra, Neil K. Chada, Kody J. H. Law, Matti Vihola

Publication date: 23 June 2021

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.10259

zbMATH Keywords

diffusionimportance samplingMarkov chain Monte Carlosequential Monte Carlomultilevel Monte Carlo

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic particle methods (65C35)

Related Items (8)

Multilevel estimation of normalization constants using ensemble Kalman-Bucy filters ⋮ Unbiased parameter inference for a class of partially observed Lévy-process models ⋮ A Wasserstein coupled particle filter for multilevel estimation ⋮ Unbiased Estimation Using Underdamped Langevin Dynamics ⋮ On Unbiased Estimation for Discretized Models ⋮ A randomized multi-index sequential Monte Carlo method ⋮ A multilevel approach for stochastic nonlinear optimal control ⋮ Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion

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