A Monte Carlo EM Approach for Partially Observable Diffusion Processes: Theory and Applications to Neural Networks

DOI10.1162/08997660260028593zbMath1012.68161OpenAlexW2103369448WikidataQ51641095 ScholiaQ51641095MaRDI QIDQ3150002

Paul Mineiro, Ruth J. Williams, Javier R. Movellan

Publication date: 28 November 2002

Published in: Neural Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1162/08997660260028593

zbMATH Keywords

recurrent neural networksMonte Carlo approach

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Learning and adaptive systems in artificial intelligence (68T05) Diffusion processes (60J60)

Related Items (2)

Algorithmic estimation of risk factors in financial markets with stochastic drift ⋮ Parametric estimation for partially hidden diffusion processes sampled at discrete times

Cites Work

• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• MLE for partially observed diffusions: Direct maximization vs. the EM algorithm
• Multilayer feedforward networks are universal approximators
• On pathwise stochastic integration
• Posterior Mode Estimation by Extended Kalman Filtering for Multivariate Dynamic Generalized Linear Models
• Neurons with graded response have collective computational properties like those of two-state neurons.

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