Bayesian estimation of incompletely observed diffusions
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Abstract: We present a general framework for Bayesian estimation of incompletely observed multivariate diffusion processes. Observations are assumed to be discrete in time, noisy and incomplete. We assume the drift and diffusion coefficient depend on an unknown parameter. A data-augmentation algorithm for drawing from the posterior distribution is presented which is based on simulating diffusion bridges conditional on a noisy incomplete observation at an intermediate time. The dynamics of such filtered bridges are derived and it is shown how these can be simulated using a generalised version of the guided proposals introduced in Schauer et al. (2016).
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Cites work
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- scientific article; zbMATH DE number 1546853 (Why is no real title available?)
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Cited in
(17)- Continuous-discrete smoothing of diffusions
- Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals
- Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
- The computational cost of blocking for sampling discretely observed diffusions
- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
- Bayesian model selection for partially observed diffusion models
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- A multiresolution method for parameter estimation of diffusion processes
- Consistent non-parametric Bayesian estimation for a time-inhomogeneous Brownian motion
- Particle Filtering for Stochastic Navier--Stokes Signal Observed with Linear Additive Noise
- Conditioning continuous-time Markov processes by guiding
- Conditioning diffusions with respect to incomplete observations
- Data augmentation-based statistical inference of diffusion processes
- Bayesian diffusion process models with time-varying parameters
- Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
- Asymptotic Bayesian estimation of a first order equation with small diffusion
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