A multiresolution method for parameter estimation of diffusion processes
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Publication:4904733
DOI10.1080/01621459.2012.720899zbMATH Open1258.62089OpenAlexW2108486794WikidataQ42949768 ScholiaQ42949768MaRDI QIDQ4904733FDOQ4904733
Authors: S. C. Kou, Benjamin P. Olding, Martin Lysy, Jun S. Liu 
Publication date: 31 January 2013
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/01621459.2012.720899
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Cites Work
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- Conditional path sampling of SDEs and the Langevin MCMC method
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Cited In (15)
- Inference on fractal processes using multiresolution approximation
- A multi-parameter regularization approach for estimating parameters in jump diffusion processes
- A Multiresolution Method for Distributed Parameter Estimation
- Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals
- Bayesian inference for nonlinear multivariate diffusion models observed with error
- Likelihood-based inference for correlated diffusions
- Bayesian analysis of ambulatory blood pressure dynamics with application to irregularly spaced sparse data
- A conditional sampling-based method for noise and resolution corrections for scalar dissipation rate measurements
- A transformation approach to modelling multi-modal diffusions
- Bayesian diffusion process models with time-varying parameters
- Statistical inference for dynamical systems: a review
- Bayesian Interaction Selection Model for Multimodal Neuroimaging Data Analysis
- Bayesian State Space Modeling of Physical Processes in Industrial Hygiene
- A fast numerical algorithm for the estimation of diffusion model parameters
- Exploiting multi-core architectures for reduced-variance estimation with intractable likelihoods
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