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Bayesian estimation of incompletely observed diffusions - MaRDI portal

Bayesian estimation of incompletely observed diffusions (Q5086440)

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scientific article; zbMATH DE number 7553379
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English
Bayesian estimation of incompletely observed diffusions
scientific article; zbMATH DE number 7553379

    Statements

    title
    Bayesian estimation of incompletely observed diffusions (English)
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    author
    Moritz Schauer
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    published in
    Stochastics
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    publication date
    5 July 2022
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    zbMATH Keywords
    data augmentation
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    enlargement of filtration
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    guided proposal
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    filtered bridge
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    smoothing diffusion processes
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    innovation scheme
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    Metropolis-Hastings
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    multidimensional diffusion bridge
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    partially observed diffusion
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    Identifiers

    zbMATH DE Number
    7553379
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    OpenAlex ID
    W3104814836
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    arXiv ID
    1606.04082
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