Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms
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samplingstochastic partial differential equationsKalman filteringrandom fieldsspatial modelsstochastic differential equationsapproximate nonlinear filteringcontinuous-discrete state space modelsstructural equations modelingItô calculus
Bayesian inference (62F15) Random fields; image analysis (62M40) Sequential statistical analysis (62L10) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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Cited in
(8)- Continuous time state space modeling of panel data by means of sem
- Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
- Estimation of nonlinear mixed‐effects continuous‐time models using the continuous‐discrete extended Kalman filter
- Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
- Least squares estimation for discretely observed Ornstein–Uhlenbeck process driven by small stable noises
- Importance sampling for Kolmogorov backward equations
- The discretization filter: A simple way to estimate nonlinear state space models
- Continuous time modeling of panel data: SEM versus filter techniques
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