Estimating parameters in stochastic systems: A variational Bayesian approach
From MaRDI portal
Publication:654174
DOI10.1016/j.physd.2011.08.013zbMath1229.62109OpenAlexW1998541716MaRDI QIDQ654174
Manfred Opper, Michail D. Vrettas, Dan Cornford
Publication date: 28 December 2011
Published in: Physica D (Search for Journal in Brave)
Full work available at URL: https://publications.aston.ac.uk/id/eprint/16146/1/vrettasm_PhysD.pdf
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (5)
Ensemble MCMC: accelerating pseudo-marginal MCMC for state space models using the ensemble Kalman filter ⋮ Expectation propagation for continuous time stochastic processes ⋮ The stochastic quasi-chemical model for bacterial growth: variational Bayesian parameter update ⋮ Estimation algorithm for system with non‐Gaussian multiplicative/additive noises based on variational Bayesian inference ⋮ Generative Ensemble Regression: Learning Particle Dynamics from Observations of Ensembles with Physics-informed Deep Generative Models
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
- Stochastic models, estimation, and control. Vol. 1
- A mean field approximation in data assimilation for nonlinear dynamics
- State and parameter estimation in stochastic dynamical models
- Topics in data assimilation: stochastic processes
- Sampling the posterior: an approach to non-Gaussian data assimilation
- On stochastic parameter estimation using data assimilation
- Dynamical equations for optimal nonlinear filtering
- Accelerated Monte Carlo for optimal estimation of time series
- Conditional path sampling of SDEs and the Langevin MCMC method
- Retrospective exact simulation of diffusion sample paths with applications
- An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
- Conditional Markov Processes
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Particle Filters for Partially Observed Diffusions
- Retrospective Markov chain Monte Carlo methods for Dirichlet process hierarchical models
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- Non-Gaussian State-Space Modeling of Nonstationary Time Series
- Équations du filtrage non linéaire de la prédiction et du lissage
- A new method for the nonlinear transformation of means and covariances in filters and estimators
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Deterministic Nonperiodic Flow
- On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications
- On Information and Sufficiency
This page was built for publication: Estimating parameters in stochastic systems: A variational Bayesian approach
