Bayesian inference for nonlinear multivariate diffusion models observed with error

DOI10.1016/j.csda.2007.05.019zbMath1452.62603OpenAlexW2134589175MaRDI QIDQ1023498

Andrew Golightly, Darren J. Wilkinson

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.05.019

zbMATH Keywords

Bayesian inferencenonlinear stochastic differential equationparticle filterMCMCinnovation schemereparameterisation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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