Bayesian estimation of incompletely observed diffusions
نویسندگان
چکیده
منابع مشابه
Variational Bayesian Inference for Partially Observed Diffusions
In this paper the variational Bayesian approximation for partially observed continuous time stochastic processes is studied. We derive an EM-like algorithm and give its implementations. The variational Expectation step is explicitly solved using the method of conditional moment generating functions and stochastic partial differential equations. The numerical experiments demonstrate that the var...
متن کاملConsistency of Bayesian nonparametric inference for discretely observed jump diffusions
We introduce verifiable criteria for weak posterior consistency of Bayesian nonparametric inference for jump diffusions with unit diffusion coefficient in arbitrary dimension. The criteria are expressed in terms of coefficients of the SDEs describing the process, and do not depend on intractable quantities such as transition densities. In particular, we are able to show that posterior consisten...
متن کاملConsistent nonparametric Bayesian inference for discretely observed scalar diffusions
FRANK VAN DER MEULEN1 and HARRY VAN ZANTEN2 1Delft Institute of Applied Mathematics (DIAM), Faculty of Electrical Engineering, Mathematics and Computer Science, Delft University of Technology, Mekelweg 4, 2628 CD Delft, The Netherlands. E-mail: [email protected] 2Department of Mathematics, Eindhoven University of Technology, P.O. Box 513, 5600 MB Eindhoven, The Netherlands. E-mail: j....
متن کاملQuasi-maximum Likelihood Estimation of Discretely Observed Diffusions∗
This paper introduces quasi-maximum likelihood estimator for discretely observed diffusions when a closed-form transition density is unavailable. Higher order Wagner-Platen strong approximation is used to derive the first two conditional moments and a normal density function is used in estimation. Simulation study shows that the proposed estimator has high numerical precision and good numerical...
متن کاملParameter Estimation for Partially Observed Hypoellip- tic Diffusions
Hypoelliptic diffusion processes can be used to model a variety of phenomena in applications ranging from molecular dynamics to audio signal analysis. We study parameter estimation for such processes in situations where we observe some components of the solution at discrete times. Since exact likelihoods for the transition densities are typically not known, approximations are used that are expe...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastics
سال: 2017
ISSN: 1744-2508,1744-2516
DOI: 10.1080/17442508.2017.1381097