Stability of sampling proposals for reducible diffusions over large time intervals

DOI10.1080/03610926.2020.1856876MaRDI QIDQ5096002zbMATH OpenOpenAlexFDO

Authors David Suda

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

zbMATH Keywords

diffusion bridgessampling proposalsstabilitystatistical inference

Mathematics Subject Classification ID

Diffusion processes (60J60) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

Cites work

• A regularized bridge sampler for sparsely sampled diffusions
• Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals
• Guided proposals for simulating multi-dimensional diffusion bridges
• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 1201579 (Why is no real title available?)
• scientific article; zbMATH DE number 758455 (Why is no real title available?)
• Importance sampling techniques for estimation of diffusion models
• Improved bridge constructs for stochastic differential equations
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• Miscellanea. A statistical method of estimation and simulation for systems of stochastic differential equations
• On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
• Semi-Stable Stochastic Processes
• Simulation of conditioned diffusion and application to parameter estimation
• Statistical inference for ergodic diffusion processes.
• Stochastic differential equations. An introduction with applications.
• The sample size required in importance sampling

Describes a project that uses

Uses Software

• Bridge.jl
• BayesEstDiffusion.jl

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