Unbiased parameter estimation for partially observed diffusions

DOI10.1137/23M160298XMaRDI QIDQ6622708zbMATH OpenFDO

Authors Elsiddig Awadelkarim, Ajay Jasra, Hamza M. Ruzayqat

Publication date 22 October 2024

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/23M160298X

zbMATH Keywords

diffusion processesMarkovian stochastic approximationparameter estimationunbiased estimation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• A Stochastic Approximation Method
• Bayesian inference for nonlinear multivariate diffusion models observed with error
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• General multilevel adaptations for stochastic approximation algorithms of Robbins-Monro and Polyak-Ruppert type
• Inference in hidden Markov models.
• Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae
• Manifold Markov chain Monte Carlo methods for Bayesian inference in diffusion models
• Markovian stochastic approximation with expanding projections
• Multi-level stochastic approximation algorithms
• Multilevel Particle Filters
• On the stability of positive semigroups
• On Unbiased Estimation for Discretized Models
• Particle Markov Chain Monte Carlo Methods
• Spectral theory and limit theorems for geometrically ergodic Markov processes
• Stability of Stochastic Approximation under Verifiable Conditions
• Unbiased estimation of the gradient of the log-likelihood in inverse problems
• Unbiased estimation using a class of diffusion processes
• Unbiased estimation with square root convergence for SDE models
• Unbiased estimators and multilevel Monte Carlo
• Unbiased filtering of a class of partially observed diffusions
• Uniform ergodicity of the iterated conditional SMC and geometric ergodicity of particle Gibbs samplers

Cited in

(4)

• An Improved Unbiased Particle Filter
• Unbiased parameter estimation for Bayesian inverse problems
• Asymptotic variance in the central limit theorem for multilevel Markovian stochastic approximation
• Unbiased approximations for stationary distributions of McKean-Vlasov SDEs

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