Continuous-discrete smoothing of diffusions
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Publication:2233574
DOI10.1214/21-EJS1894zbMATH Open1475.60150arXiv1712.03807MaRDI QIDQ2233574FDOQ2233574
Authors: Marcin Mider, Moritz Schauer, Frank van der Meulen 
Publication date: 11 October 2021
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: Suppose X is a multivariate diffusion process that is observed discretely in time. At each observation time, a transformation of the state of the process is observed with noise. The smoothing problem consists of recovering the path of the process, consistent with the observations. We derive a novel Markov Chain Monte Carlo algorithm to sample from the exact smoothing distribution. The resulting algorithm is called the Backward Filtering Forward Guiding (BFFG) algorithm. We extend the algorithm to include parameter estimation. The proposed method relies on guided proposals introduced in Schauer et al. (2017). We illustrate its efficiency in a number of challenging problems.
Full work available at URL: https://arxiv.org/abs/1712.03807
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Markov chain Monte Carlodata assimilationfilteringpartial observationsLorenz systemchemical reaction networkguided proposaldiffusion bridgestochastic heat equation on a graph
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