Bayesian estimation of discretely observed diffusion processes using Wiener chaos expansion
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Cites work
- A piecewise deterministic Monte Carlo method for diffusion bridges
- A weighted version of gamma distribution
- An efficient method to simulate diffusion bridges
- Bayesian inference for nonlinear multivariate diffusion models observed with error
- Corrigendum to: ``Simple simulation of diffusion bridges with application to likelihood inference for diffusions
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Guided proposals for simulating multi-dimensional diffusion bridges
- Inference for Diffusion Processes
- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
- Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
- Particle Markov Chain Monte Carlo Methods
- Sequential Monte Carlo with Highly Informative Observations
- Simple simulation of diffusion bridges with application to likelihood inference for diffusions
- Statistical inference for stochastic differential equations
- Statistical Methods for Stochastic Differential Equations
- Stochastic differential equations and applications.
- Stochastic Differential Equations: A Wiener Chaos Approach
- The asymptotic error of chaos expansion approximations for stochastic differential equations
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