Unbiased inference for discretely observed hidden Markov model diffusions
From MaRDI portal
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Stochastic particle methods (65C35) Numerical analysis or methods applied to Markov chains (65C40)
Abstract: We develop a Bayesian inference method for diffusions observed discretely and with noise, which is free of discretisation bias. Unlike existing unbiased inference methods, our method does not rely on exact simulation techniques. Instead, our method uses standard time-discretised approximations of diffusions, such as the Euler--Maruyama scheme. Our approach is based on particle marginal Metropolis--Hastings, a particle filter, randomised multilevel Monte Carlo, and importance sampling type correction of approximate Markov chain Monte Carlo. The resulting estimator leads to inference without a bias from the time-discretisation as the number of Markov chain iterations increases. We give convergence results and recommend allocations for algorithm inputs. Our method admits a straightforward parallelisation, and can be computationally efficient. The user-friendly approach is illustrated on three examples, where the underlying diffusion is an Ornstein--Uhlenbeck process, a geometric Brownian motion, and a 2d non-reversible Langevin equation.
Recommendations
- On Unbiased Estimation for Discretized Models
- Unbiased filtering of a class of partially observed diffusions
- Unbiased parameter inference for a class of partially observed Lévy-process models
- Markov chain Monte Carlo for exact inference for diffusions
- Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators
Cites work
- A general method for debiasing a Monte Carlo estimator
- A MULTI-INDEX MARKOV CHAIN MONTE CARLO METHOD
- An Exact Auxiliary Variable Gibbs Sampler for a Class of Diffusions
- Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
- Bayesian static parameter estimation for partially observed diffusions via multilevel Monte Carlo
- Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Exact simulation for multivariate Itô diffusions
- Exact simulation of diffusions
- Harris recurrence of Metropolis-within-Gibbs and trans-dimensional Markov chains
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 2000348 (Why is no real title available?)
- Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance
- Importance sampling type estimators based on approximate marginal Markov chain Monte Carlo
- Inference in hidden Markov models.
- Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
- Multilevel Monte Carlo Path Simulation
- Multilevel Particle Filters
- Multilevel particle filters for Lévy-driven stochastic differential equations
- On the efficiency of pseudo-marginal random walk Metropolis algorithms
- Particle Filters for Partially Observed Diffusions
- Particle Markov Chain Monte Carlo Methods
- Random-Weight Particle Filtering of Continuous Time Processes
- Stochastic processes and applications. Diffusion processes, the Fokker-Planck and Langevin equations
- The Asymptotic Efficiency of Simulation Estimators
- Unbiased estimation with square root convergence for SDE models
- Unbiased estimators and multilevel Monte Carlo
Cited in
(19)- Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion
- Multilevel estimation of normalization constants using ensemble Kalman-Bucy filters
- Unbiased parameter inference for a class of partially observed Lévy-process models
- A multilevel approach for stochastic nonlinear optimal control
- A Wasserstein coupled particle filter for multilevel estimation
- Unbiased Estimation Using Underdamped Langevin Dynamics
- On Unbiased Estimation for Discretized Models
- A randomized multi-index sequential Monte Carlo method
- Bayesian parameter inference for partially observed stochastic volterra equations
- Multi-index sequential Monte Carlo ratio estimators for Bayesian inverse problems
- Unbiased parameter estimation for partially observed diffusions
- Unbiased and multilevel methods for a class of diffusions partially observed via marked point processes
- Modeling of measurement error in financial returns data
- Unbiased parameter estimation for Bayesian inverse problems
- Bayesian parameter estimation for partially observed McKean-Vlasov diffusions using multilevel Markov chain Monte Carlo
- Multilevel Monte Carlo for a class of partially observed processes in neuroscience
- Bayesian inference for non-synchronously observed diffusions
- Unbiased approximations for stationary distributions of McKean-Vlasov SDEs
- Unbiased kinetic Langevin Monte Carlo with inexact gradients
This page was built for publication: Unbiased inference for discretely observed hidden Markov model diffusions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4995123)
