Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
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Publication:3408539
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- scientific article; zbMATH DE number 1165661
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- Sequential Monte Carlo Methods in Practice
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Cited in
(only showing first 100 items - show all)- Exact Bayesian Inference in Spatiotemporal Cox Processes Driven by Multivariate Gaussian Processes
- Exact simulation for diffusion bridges: an adaptive approach
- Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
- Contrast estimation for noisy observations of diffusion processes via closed-form density expansions
- A pseudo-marginal sequential Monte Carlo online smoothing algorithm
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- Improved bridge constructs for stochastic differential equations
- Simulated likelihood estimators for discretely observed jump-diffusions
- Parameter estimation for multivariate diffusion systems
- Pseudo-Marginal Inference for CTMCs on Infinite Spaces via Monotonic Likelihood Approximations
- Bayesian inference for nonlinear stochastic SIR epidemic model
- Simulation of extremes of diffusions
- Bayesian inference, model selection and likelihood estimation using fast rejection sampling: the Conway-Maxwell-Poisson distribution
- Particle Filters for Partially Observed Diffusions
- Fast continuous-discrete DAF-filters
- Efficient Monte Carlo simulation for integral functionals of Brownian motion
- A general framework for the parametrization of hierarchical models
- Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
- Estimating parameters in stochastic systems: A variational Bayesian approach
- Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
- Non-reversible guided Metropolis kernel
- Exact Monte Carlo simulation of killed diffusions
- Unbiased simulation method with the Poisson kernel method for stochastic differential equations with reflection
- Simulation of jump diffusions and the pricing of options
- Brownian motion and Ornstein-Uhlenbeck processes in planar shape space
- Unbiased simulation of stochastic differential equations
- Barker's algorithm for Bayesian inference with intractable likelihoods
- Asymptotics of an efficient Monte Carlo estimation for the transition density of diffusion processes
- Exact asymptotics for estimating the marginal density of discretely observed diffusion proc\-esses
- Time series analysis via mechanistic models
- Online Smoothing for Diffusion Processes Observed with Noise
- Retrospective sampling in MCMC with an application to COM-Poisson regression
- Exploiting multi-core architectures for reduced-variance estimation with intractable likelihoods
- CLTs and asymptotic variance of time-sampled Markov chains
- Parametric inference for mixed models defined by stochastic differential equations
- Approximation of transition densities of stochastic differential equations by saddlepoint methods applied to small-time Ito-Taylor sample-path expansions
- Bayesian consistency for stationary models
- Contrast-based information criterion for ergodic diffusion processes from discrete observations
- Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes
- Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
- On Russian roulette estimates for Bayesian inference with doubly-intractable likelihoods
- Expectation propagation for continuous time stochastic processes
- Accelerated degradation process analysis based on the nonlinear Wiener process with covariates and random effects
- Multilevel Monte Carlo for smoothing via transport methods
- Estimation of regime-switching diffusions via Fourier transforms
- Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models
- A new estimating function for discretely sampled diffusions
- Consistent nonparametric Bayesian inference for discretely observed scalar diffusions
- An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
- Prediction-based estimation for diffusion models with high-frequency data
- Detecting the sampling rate through observations
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations
- Toward a mathematical theory of trajectory inference
- Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models
- Diffusion bridges for stochastic Hamiltonian systems and shape evolutions
- Simulation of Tempered Stable Lévy Bridges and Its Applications
- De-biasing particle filtering for a continuous time hidden Markov model with a Cox process observation model
- Resampling strategy in sequential Monte Carlo for constrained sampling problems
- Estimation in the partially observed stochastic Morris-Lecar neuronal model with particle filter and stochastic approximation methods
- A nonparametric model for stationary time series
- Nonparametric Bayesian inference for reversible multidimensional diffusions
- On the exact and -strong simulation of (jump) diffusions
- Scaling Limits for the Transient Phase of Local Metropolis–Hastings Algorithms
- Parametric inference for diffusion processes observed at discrete points in time: a survey
- Rao–Blackwellisation in the Markov Chain Monte Carlo Era
- Inference for reaction networks using the linear noise approximation
- Flexible Bayesian inference for diffusion processesusing splines
- On nonnegative unbiased estimators
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- Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme
- Convergence properties of pseudo-marginal Markov chain Monte Carlo algorithms
- Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
- Monte Carlo fusion
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- Exact simulation of jump-diffusion processes with Monte Carlo applications
- Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms
- Markov chain Monte Carlo for exact inference for diffusions
- Data augmentation-based statistical inference of diffusion processes
- Likelihood-based inference for a class of multivariate diffusions with unobserved paths
- Globally optimal parameter estimates for nonlinear diffusions
- Nonparametric Bayesian methods for one-dimensional diffusion models
- Importance sampling for Kolmogorov backward equations
- Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators
- A multiresolution method for parameter estimation of diffusion processes
- Bayesian inference for nonlinear multivariate diffusion models observed with error
- Stochastic differential mixed-effect models
- Likelihood-based inference for correlated diffusions
- Continuous-discrete smoothing of diffusions
- Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions
- Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
- Fitting nonlinear ordinary differential equation models with random effects and unknown initial conditions using the stochastic approximation expectation-maximization (SAEM) algorithm
- Simulation of elliptic and hypo-elliptic conditional diffusions
- Laplace approximation of transition densities posed as Brownian expectations
- Bayesian consistency for Markov models
- An Exact Auxiliary Variable Gibbs Sampler for a Class of Diffusions
- Approximate maximum likelihood estimation using data-cloning ABC
- A first step to implement Gillespie's algorithm with rejection sampling
- Reversible jump MCMC for nonparametric drift estimation for diffusion processes
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