Bayesian static parameter estimation for partially observed diffusions via multilevel Monte Carlo
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35) Numerical analysis or methods applied to Markov chains (65C40) Monte Carlo methods applied to problems in statistical mechanics (82M31)
Abstract: In this article we consider static Bayesian parameter estimation for partially observed diffusions that are discretely observed. We work under the assumption that one must resort to discretizing the underlying diffusion process, for instance using the Euler-Maruyama method. Given this assumption, we show how one can use Markov chain Monte Carlo (MCMC) and particularly particle MCMC [Andrieu, C., Doucet, A. and Holenstein, R. (2010). Particle Markov chain Monte Carlo methods (with discussion). J. R. Statist. Soc. Ser. B, 72, 269--342] to implement a new approximation of the multilevel (ML) Monte Carlo (MC) collapsing sum identity. Our approach comprises constructing an approximate coupling of the posterior density of the joint distribution over parameter and hidden variables at two different discretization levels and then correcting by an importance sampling method. The variance of the weights are independent of the length of the observed data set. The utility of such a method is that, for a prescribed level of mean square error, the cost of this MLMC method is provably less than i.i.d. sampling from the posterior associated to the most precise discretization. However the method here comprises using only known and efficient simulation methodologies. The theoretical results are illustrated by inference of the parameters of two prototypical processes given noisy partial observations of the process: the first is an Ornstein Uhlenbeck process and the second is a more general Langevin equation.
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Cited in
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- Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion
- Unbiased parameter inference for a class of partially observed Lévy-process models
- Rate-optimal refinement strategies for local approximation MCMC
- A direct filter method for parameter estimation
- Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
- Static-parameter estimation in piecewise deterministic processes using particle Gibbs samplers
- A seamless multilevel ensemble transform particle filter
- Unbiased inference for discretely observed hidden Markov model diffusions
- Multilevel Markov Chain Monte Carlo
- Multilevel Monte Carlo in approximate Bayesian computation
- A multilevel approach for stochastic nonlinear optimal control
- Advanced Multilevel Monte Carlo Methods
- A Wasserstein coupled particle filter for multilevel estimation
- A Sample-Wise Data Driven Control Solver for the Stochastic Optimal Control Problem with Unknown Model Parameters
- A randomized multi-index sequential Monte Carlo method
- Bayesian parameter inference for partially observed stochastic volterra equations
- Multi-index sequential Monte Carlo ratio estimators for Bayesian inverse problems
- Unbiased and multilevel methods for a class of diffusions partially observed via marked point processes
- Modeling of measurement error in financial returns data
- Bayesian parameter estimation for partially observed McKean-Vlasov diffusions using multilevel Markov chain Monte Carlo
- Multilevel Monte Carlo for a class of partially observed processes in neuroscience
- Bayesian inference for non-synchronously observed diffusions
- Bayesian parameter inference for partially observed stopped processes
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