A regularized bridge sampler for sparsely sampled diffusions
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Publication:746239
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Cites work
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
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- Testing the assumptions behind importance sampling
Cited in
(12)- Zero-inflated regime-switching stochastic differential equation models for highly unbalanced multivariate, multi-subject time-series data
- Efficient computation of the quasi likelihood function for discretely observed diffusion processes
- Statistical inference for stochastic differential equations
- Simulation of elliptic and hypo-elliptic conditional diffusions
- Properties of the bridge sampler with a focus on splitting the MCMC sample
- A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations
- A penalized simulated maximum likelihood method to estimate parameters for SDEs with measurement error
- Continuous-discrete smoothing of diffusions
- Improved bridge constructs for stochastic differential equations
- Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices
- Bayesian analysis of ambulatory blood pressure dynamics with application to irregularly spaced sparse data
- Stability of sampling proposals for reducible diffusions over large time intervals
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