Nonparametric estimation of diffusions: a differential equations approach

DOI10.1093/biomet/ass034zbMath1437.62575OpenAlexW2030819485MaRDI QIDQ2913847

Gareth O. Roberts, Yvo Pokern, Omiros Papaspiliopoulos, Andrew M. Stuart

Publication date: 21 September 2012

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/3bda3bb0c9a533d0b16e2338fb20526f20c991f4

zbMATH Keywords

inverse problemfinite element methodMarkov chain Monte CarloMarkov processlocal timeGaussian measure

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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Uses Software

• GMRFLib

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