Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators
From MaRDI portal
Abstract: This paper concerns the use of the expectation-maximisation (EM) algorithm for inference in partially observed diffusion processes. In this context, a well known problem is that all except a few diffusion processes lack closed-form expressions of the transition densities. Thus, in order to estimate efficiently the EM intermediate quantity we construct, using novel techniques for unbiased estimation of diffusion transition densities, a random weight fixed-lag auxiliary particle smoother, which avoids the well known problem of particle trajectory degeneracy in the smoothing mode. The estimator is justified theoretically and demonstrated on a simulated example.
Recommendations
- Maximum likelihood estimation of partially observed diffusion models
- Maximum likelihood estimation for doubly stochastic poisson processes with partial observations
- Particle Filters for Partially Observed Diffusions
- Parameter estimation for partially observed hypoelliptic diffusions
- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
- Parameter estimation in general state-space models using particle methods
- Inference for a class of partially observed point process models
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
Cites work
- A factorisation of diffusion measure and finite sample path constructions
- Asymptotic properties of particle filter-based maximum likelihood estimators for state space models
- Blind Deconvolution via Sequential Imputations
- Closed-form likelihood expansions for multivariate diffusions
- Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes
- Convergence of the Monte Carlo expectation maximization for curved exponential families.
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Filtering via Simulation: Auxiliary Particle Filters
- Forgetting the initial distribution for hidden Markov models
- Hidden Markov chains and the analysis of genome structure
- scientific article; zbMATH DE number 1666091 (Why is no real title available?)
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 3567782 (Why is no real title available?)
- scientific article; zbMATH DE number 2061746 (Why is no real title available?)
- Inference in hidden Markov models.
- Iterated filtering
- Limit theorems for weighted samples with applications to sequential Monte Carlo methods
- Monte Carlo techniques to estimate the conditional expectation in multi-stage non-linear filtering†
- On the auxiliary particle filter
- On the convergence properties of the EM algorithm
- Particle Filters for Partially Observed Diffusions
- Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
- Stochastic models for ion channels: Introduction and bibliography
- The Monte-Carlo method for filtering with discrete-time observations
Cited in
(10)- Numerically stable online estimation of variance in particle filters
- Continuous-discrete smoothing of diffusions
- On nonnegative unbiased estimators
- A pseudo-marginal sequential Monte Carlo online smoothing algorithm
- Unbiased inference for discretely observed hidden Markov model diffusions
- An Exact Auxiliary Variable Gibbs Sampler for a Class of Diffusions
- Limits of accuracy for parameter estimation and localization in single-molecule microscopy via sequential Monte Carlo methods
- Backward Importance Sampling for Online Estimation of State Space Models
- Analysis of single particle diffusion with transient binding using particle filtering
- MLE for partially observed diffusions: Direct maximization vs. the EM algorithm
This page was built for publication: Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1952219)
