Stability of sampling proposals for reducible diffusions over large time intervals
From MaRDI portal
Publication:5096002
DOI10.1080/03610926.2020.1856876OpenAlexW3111819223MaRDI QIDQ5096002
Publication date: 12 August 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2020.1856876
Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Diffusion processes (60J60)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A regularized bridge sampler for sparsely sampled diffusions
- Simulation of conditioned diffusion and application to parameter estimation
- Statistical inference for ergodic diffusion processes.
- The sample size required in importance sampling
- Improved bridge constructs for stochastic differential equations
- Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals
- Guided proposals for simulating multi-dimensional diffusion bridges
- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
- Miscellanea. A statistical method of estimation and simulation for systems of stochastic differential equations
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Semi-Stable Stochastic Processes
- References
- Stochastic differential equations. An introduction with applications.
This page was built for publication: Stability of sampling proposals for reducible diffusions over large time intervals