A regularized bridge sampler for sparsely sampled diffusions
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Publication:746239
DOI10.1007/S11222-011-9255-YzbMATH Open1322.62211OpenAlexW1985954067MaRDI QIDQ746239FDOQ746239
Publication date: 16 October 2015
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-011-9255-y
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sampling theory, sample surveys (62D05) Diffusion processes (60J60)
Cites Work
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Cited In (12)
- Stability of sampling proposals for reducible diffusions over large time intervals
- A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations
- Continuous-discrete smoothing of diffusions
- Simulation of elliptic and hypo-elliptic conditional diffusions
- Bayesian analysis of ambulatory blood pressure dynamics with application to irregularly spaced sparse data
- Statistical inference for stochastic differential equations
- Zero-inflated regime-switching stochastic differential equation models for highly unbalanced multivariate, multi-subject time-series data
- Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices
- Efficient computation of the quasi likelihood function for discretely observed diffusion processes
- Improved bridge constructs for stochastic differential equations
- Properties of the bridge sampler with a focus on splitting the MCMC sample
- A penalized simulated maximum likelihood method to estimate parameters for SDEs with measurement error
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