Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
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Publication:2255925
DOI10.1007/s00180-012-0352-yzbMath1305.65062OpenAlexW2060182299MaRDI QIDQ2255925
Heikki Haario, Simo Särkkä, Isambi Sailon Mbalawata
Publication date: 18 February 2015
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-012-0352-y
stochastic differential equationparameter estimationMarkov chain Monte CarloKalman filterHamiltonian Monte Carlomatrix fraction decomposition
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