BayesEstDiffusion.jl

swMATH40280MaRDI QIDQ55980FDOQ55980

Author name not available (Why is that?)

Source code repository: https://github.com/mschauer/BayesEstDiffusion.jl

Described by source

• Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals

Cited In (10)

• Optimal control for estimation in partially observed elliptic and hypoelliptic linear stochastic differential equations
• Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes
• Stability of sampling proposals for reducible diffusions over large time intervals
• Continuous-discrete smoothing of diffusions
• Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions
• Bayesian estimation of incompletely observed diffusions
• Diffusion Bridges for Stochastic Hamiltonian Systems and Shape Evolutions
• Improved bridge constructs for stochastic differential equations
• Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
• Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient

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