Hypoelliptic Diffusions: Filtering and Inference from Complete and Partial Observations
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Publication:5234405
DOI10.1111/rssb.12307zbMath1420.62094arXiv1707.04235MaRDI QIDQ5234405
Adeline Samson, Susanne Ditlevsen
Publication date: 26 September 2019
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1707.04235
parameter estimation; particle filter; hypoelliptic diffusion; approximate maximum likelihood; 1.5 strong order discretization scheme; stochastic approximation expectation-maximization algorithm
62M20: Inference from stochastic processes and prediction
62F10: Point estimation
60J60: Diffusion processes