Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
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Publication:5962749
DOI10.1007/S11222-013-9441-1zbMATH Open1331.65021OpenAlexW2000454092MaRDI QIDQ5962749FDOQ5962749
Authors: Simo Särkkä, Jouni Hartikainen, Isambi Sailon Mbalawata, Heikki Haario 
Publication date: 23 February 2016
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-013-9441-1
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Gaussian approximationparameter estimationadaptive Markov chain Monte Carlostochastic differential equationnon-linear Kalman filter
Numerical analysis or methods applied to Markov chains (65C40) Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Estimation and detection in stochastic control theory (93E10)
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Cited In (5)
- Expected a posteriori estimation in finance
- Generative Ensemble Regression: Learning Particle Dynamics from Observations of Ensembles with Physics-informed Deep Generative Models
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- Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
- Contrast estimation for noisy observations of diffusion processes via closed-form density expansions
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