Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
From MaRDI portal
Publication:5962749
DOI10.1007/S11222-013-9441-1zbMATH Open1331.65021OpenAlexW2000454092MaRDI QIDQ5962749FDOQ5962749
Jouni Hartikainen, Heikki Haario, Isambi Sailon Mbalawata, Simo Särkkä
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
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
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)
Cites Work
- Robust adaptive Metropolis algorithm with coerced acceptance rate
- Title not available (Why is that?)
- Stochastic processes and filtering theory
- Title not available (Why is that?)
- An adaptive Metropolis algorithm
- Particle Markov Chain Monte Carlo Methods
- Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
- Monte Carlo strategies in scientific computing
- Optimal scaling for various Metropolis-Hastings algorithms.
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
- Stochastic differential equations. An introduction with applications.
- On adaptive Markov chain Monte Carlo algorithms
- On the ergodicity properties of some adaptive MCMC algorithms
- Adaptive proposal distribution for random walk Metropolis algorithm
- Monte Carlo Smoothing for Nonlinear Time Series
- Bayesian inference for nonlinear multivariate diffusion models observed with error
- Closed-form likelihood expansions for multivariate diffusions
- A hierarchy of approximations of the master equation scaled by a size parameter
- Title not available (Why is that?)
- On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Solutions of ordinary differential equations as limits of pure jump markov processes
- Limit theorems for sequences of jump Markov processes approximating ordinary differential processes
- Stochastic models, estimation, and control. Vol. 2,3
- Advanced Markov Chain Monte Carlo Methods
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Non-Gaussian State-Space Modeling of Nonstationary Time Series
- Title not available (Why is that?)
- Title not available (Why is that?)
- Evaluation of likelihood functions for Gaussian signals
- Gaussian filters for nonlinear filtering problems
- A Numerical-Integration Perspective on Gaussian Filters
- Linearization methods for stochastic dynamic systems.
- On the efficacy of simulated maximum likelihood for estimating the parameters of stochastic differential Equations*
- A new method for the nonlinear transformation of means and covariances in filters and estimators
- Piecewise affine systems approach to control of biological networks
- Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
- On parameter estimation in population models. II: Multi-dimensional processes and transient dynamics
- Nonlinear continuous time modeling approaches in panel research
- Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms
- Convergence of adaptive and interacting Markov chain Monte Carlo algorithms
- A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions
- Runge-Kutta methods for Itô stochastic differential equations with scalar noise
- Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
- Bayesian inference for irreducible diffusion processes using the pseudo-marginal approach
- Generalized Gauss-Hermite filtering
- Continuous-time and continuous-discrete-time unscented Rauch-Tung-Striebel smoothers
- Estimating the parameters of stochastic differential equations
Cited In (4)
- Generative Ensemble Regression: Learning Particle Dynamics from Observations of Ensembles with Physics-informed Deep Generative Models
- Title not available (Why is that?)
- 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
Uses Software
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)
