Spectral density-based and measure-preserving ABC for partially observed diffusion processes. An illustration on Hamiltonian SDEs

DOI10.1007/s11222-019-09909-6zbMath1505.62081arXiv1903.01138OpenAlexW2987732919WikidataQ90054048 ScholiaQ90054048MaRDI QIDQ2302513

Massimiliano Tamborrino, Irene Tubikanec, Evelyn Buckwar

Publication date: 26 February 2020

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

Full work available at URL: https://arxiv.org/abs/1903.01138

zbMATH Keywords

stochastic differential equationsinvariant measureapproximate Bayesian computationlikelihood-free inferencenumerical splitting schemesneural mass models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Uses Software

• R
• Rcpp
• epiABC
• TSdist

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