Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators

DOI10.1214/11-EJS632zbMath1274.62564arXiv1008.2886MaRDI QIDQ1952219

Jimmy Olsson, Jonas Ströjby

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.2886

zbMATH Keywords

EM algorithmsequential Monte Carloexact algorithmauxiliary particle filterpartially observed diffusion processgeneralised Poisson estimator

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05)

Related Items (7)

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 ⋮ A pseudo-marginal sequential Monte Carlo online smoothing algorithm ⋮ Backward Importance Sampling for Online Estimation of State Space Models ⋮ Continuous-discrete smoothing of diffusions ⋮ Numerically stable online estimation of variance in particle filters ⋮ On nonnegative unbiased estimators

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