Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion

DOI10.1007/S11222-022-10193-0zbMATH Open1502.62021arXiv2211.00296OpenAlexW4313403754MaRDI QIDQ2110194FDOQ2110194

Hernando C. Ombao, Ajay Jasra, Mohamed Maama

Publication date: 21 December 2022

Published in: Statistics and Computing (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/2211.00296

zbMATH Keywords

Markov chain Monte Carlofractional Brownian motionmultilevel Monte Carlotime discretization

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

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Cited In (3)

• Bayesian approach to a nonlinear inverse problem for a time-space fractional diffusion equation
• Bayesian parameter inference for partially observed stochastic volterra equations
• Parameter estimation for the fractional Schrödinger equation using Bayesian method

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