Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators
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Publication:1952219
DOI10.1214/11-EJS632zbMath1274.62564arXiv1008.2886MaRDI QIDQ1952219
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
EM algorithm; sequential Monte Carlo; exact algorithm; auxiliary particle filter; partially observed diffusion process; generalised Poisson estimator
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