Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
From MaRDI portal
(Redirected from Publication:5962749)
Recommendations
- Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- On particle methods for parameter estimation in state-space models
- Parameter inference for stochastic differential equations with density tracking by quadrature
- Estimation of parameters in mean-reverting stochastic systems
Cites work
- scientific article; zbMATH DE number 578421 (Why is no real title available?)
- scientific article; zbMATH DE number 939851 (Why is no real title available?)
- scientific article; zbMATH DE number 3806623 (Why is no real title available?)
- scientific article; zbMATH DE number 1911984 (Why is no real title available?)
- scientific article; zbMATH DE number 758455 (Why is no real title available?)
- A Numerical-Integration Perspective on Gaussian Filters
- A hierarchy of approximations of the master equation scaled by a size parameter
- A new method for the nonlinear transformation of means and covariances in filters and estimators
- A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
- Adaptive proposal distribution for random walk Metropolis algorithm
- Advanced Markov chain Monte Carlo methods. Learning from past samples.
- An adaptive Metropolis algorithm
- Bayesian inference for irreducible diffusion processes using the pseudo-marginal approach
- Bayesian inference for nonlinear multivariate diffusion models observed with error
- Closed-form likelihood expansions for multivariate diffusions
- Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms
- Continuous-time and continuous-discrete-time unscented Rauch-Tung-Striebel smoothers
- Convergence of adaptive and interacting Markov chain Monte Carlo algorithms
- Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
- Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
- Estimating the parameters of stochastic differential equations
- Evaluation of likelihood functions for Gaussian signals
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Gaussian filters for nonlinear filtering problems
- Generalized Gauss-Hermite filtering
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Limit theorems for sequences of jump Markov processes approximating ordinary differential processes
- Linearization methods for stochastic dynamic systems.
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Monte Carlo Smoothing for Nonlinear Time Series
- Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
- Monte Carlo strategies in scientific computing
- Non-Gaussian State-Space Modeling of Nonstationary Time Series
- Nonlinear continuous time modeling approaches in panel research
- On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems
- On adaptive Markov chain Monte Carlo algorithms
- On parameter estimation in population models. II: Multi-dimensional processes and transient dynamics
- On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations*
- On the ergodicity properties of some adaptive MCMC algorithms
- Optimal scaling for various Metropolis-Hastings algorithms.
- Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
- Particle Markov Chain Monte Carlo Methods
- Piecewise affine systems approach to control of biological networks
- Robust adaptive Metropolis algorithm with coerced acceptance rate
- Runge-Kutta methods for Itô stochastic differential equations with scalar noise
- Solutions of ordinary differential equations as limits of pure jump markov processes
- Stochastic differential equations. An introduction with applications.
- Stochastic models, estimation, and control. Vol. 2,3
- Stochastic processes and filtering theory
Cited in
(7)- Expected a posteriori estimation in finance
- A variational approach to path estimation and parameter inference of hidden diffusion processes
- scientific article; zbMATH DE number 7307488 (Why is no real title available?)
- Generative ensemble regression: Learning particle dynamics from observations of ensembles with physics-informed deep generative models
- Estimation of parameters in mean-reverting stochastic systems
- 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
This page was built for publication: Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5962749)
