Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals

DOI10.1214/17-EJS1290zbMATH Open1378.62050arXiv1406.4704OpenAlexW3104146538MaRDI QIDQ2396348FDOQ2396348

Authors: Moritz Schauer, Frank van der Meulen 

Publication date: 8 June 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: Estimation of parameters of a diffusion based on discrete time observations poses a difficult problem due to the lack of a closed form expression for the likelihood. From a Bayesian computational perspective it can be casted as a missing data problem where the diffusion bridges in between discrete-time observations are missing. The computational problem can then be dealt with using a Markov-chain Monte-Carlo method known as data-augmentation. If unknown parameters appear in the diffusion coefficient, direct implementation of data-augmentation results in a Markov chain that is reducible. Furthermore, data-augmentation requires efficient sampling of diffusion bridges, which can be difficult, especially in the multidimensional case. We present a general framework to deal with with these problems that does not rely on discretisation. The construction generalises previous approaches and sheds light on the assumptions necessary to make these approaches work. We define a random-walk type Metropolis-Hastings sampler for updating diffusion bridges. Our methods are illustrated using guided proposals for sampling diffusion bridges. These are Markov processes obtained by adding a guiding term to the drift of the diffusion. We give general guidelines on the construction of these proposals and introduce a time change and scaling of the guided proposal that reduces discretisation error. Numerical examples demonstrate the performance of our methods.

Full work available at URL: https://arxiv.org/abs/1406.4704

Recommendations

• Bayesian estimation of incompletely observed diffusions
• Guided proposals for simulating multi-dimensional diffusion bridges
• Reversible jump MCMC for nonparametric drift estimation for diffusion processes
• A multiresolution method for parameter estimation of diffusion processes
• Bayesian inference for nonlinear multivariate diffusion models observed with error

zbMATH Keywords

data augmentationFitzhugh-Nagumo modellinear processinnovation processdiscretisation of path integralmultidimensional diffusion bridgenon-centred parametrisation

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Diffusion processes (60J60)

Cited In (23)

• Diffusion bridges for stochastic Hamiltonian systems and shape evolutions
• Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations
• Nonparametric Bayesian inference for reversible multidimensional diffusions
• Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes
• Flexible Bayesian inference for diffusion processesusing splines
• A geometric framework for stochastic shape analysis
• Stability of sampling proposals for reducible diffusions over large time intervals
• A multiresolution method for parameter estimation of diffusion processes
• Continuous-discrete smoothing of diffusions
• Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions
• Simulation of elliptic and hypo-elliptic conditional diffusions
• Nonparametric Bayesian volatility learning under microstructure noise
• Conditioning diffusions with respect to incomplete observations
• Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices
• Bayesian estimation of incompletely observed diffusions
• BayesEstDiffusion.jl
• Improved bridge constructs for stochastic differential equations
• Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
• The computational cost of blocking for sampling discretely observed diffusions
• A piecewise deterministic Monte Carlo method for diffusion bridges
• Online Smoothing for Diffusion Processes Observed with Noise
• Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient
• Consistent inference for diffusions from low frequency measurements

Uses Software

• Bridge.jl

This page was built for publication: Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2396348)