Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion
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Publication:2110194
Abstract: In this paper we consider Bayesian parameter inference for partially observed fractional Brownian motion (fBM) models. The approach we follow is to time-discretize the hidden process and then to design Markov chain Monte Carlo (MCMC) algorithms to sample from the posterior density on the parameters given data. We rely on a novel representation of the time discretization, which seeks to sample from an approximation of the posterior and then corrects via importance sampling; the approximation reduces the time (in terms of total observation time T) by O(T). This method is extended by using a multilevel MCMC method which can reduce the computational cost to achieve a given mean square error (MSE) versus using a single time discretization. Our methods are illustrated on simulated and real data.
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Cites work
- scientific article; zbMATH DE number 2000348 (Why is no real title available?)
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Cited in
(9)- Bayesian parameter inference for partially observed stopped processes
- Bayesian approach to a nonlinear inverse problem for a time-space fractional diffusion equation
- Bayesian parameter inference for partially observed stochastic volterra equations
- Bayesian inference for partially observed stochastic differential equations driven by fractional Brownian motion
- Bayesian inference of scaled versus fractional Brownian motion
- Bayesian static parameter estimation for partially observed diffusions via multilevel Monte Carlo
- Parameter estimation for the fractional Schrödinger equation using Bayesian method
- Discrete-time inference for slow-fast systems driven by fractional Brownian motion
- Bayesian inference for fractional oscillating Brownian motion
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