Simulation of Multivariate Diffusion Bridges
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Publication:5378357
DOI10.1111/RSSB.12118zbMATH Open1414.62085arXiv1405.7728OpenAlexW1588437162MaRDI QIDQ5378357FDOQ5378357
Mogens Bladt, Samuel Finch, Michael Sørensen
Publication date: 12 June 2019
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Abstract: We propose simple methods for multivariate diffusion bridge simulation, which plays a fundamental role in simulation-based likelihood and Bayesian inference for stochastic differential equations. By a novel application of classical coupling methods, the new approach generalizes a previously proposed simulation method for one-dimensional bridges to the multi-variate setting. First a method of simulating approximate, but often very accurate, diffusion bridges is proposed. These approximate bridges are used as proposal for easily implementable MCMC algorithms that produce exact diffusion bridges. The new method is much more generally applicable than previous methods. Another advantage is that the new method works well for diffusion bridges in long intervals because the computational complexity of the method is linear in the length of the interval. In a simulation study the new method performs well, and its usefulness is illustrated by an application to Bayesian estimation for the multivariate hyperbolic diffusion model.
Full work available at URL: https://arxiv.org/abs/1405.7728
Bayesian inferencestochastic differential equationlikelihood inferencecouplingtime reversaldiscretely sampled diffusions
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- A geometric framework for stochastic shape analysis
- Efficient sampling of conditioned Markov jump processes
- Guided proposals for simulating multi-dimensional diffusion bridges
- Statistics of stochastic differential equations on manifolds and stratified spaces. Abstracts from the workshop held October 3--9, 2021 (hybrid meeting)
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- Langevin Equations for Landmark Image Registration with Uncertainty
- Continuous-discrete smoothing of diffusions
- Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes
- Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions
- Simulation of elliptic and hypo-elliptic conditional diffusions
- Statistical inference for stochastic differential equations
- Simple simulation of diffusion bridges with application to likelihood inference for diffusions
- Langevin diffusions on the torus: estimation and applications
- A study of the data augmentation strategy for stochastic differential equations
- Diffusion Bridges for Stochastic Hamiltonian Systems and Shape Evolutions
- A piecewise deterministic Monte Carlo method for diffusion bridges
- Multiscale stochastic optimization: modeling aspects and scenario generation
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