Correlation integral likelihood for stochastic differential equations

DOI10.1007/978-3-030-04161-8_3zbMath1417.37182OpenAlexW2921603252MaRDI QIDQ2001218

Ramona Maraia, Heikki Haario, Sebastian Springer, Janne Hakkarainen

Publication date: 2 July 2019

Full work available at URL: https://doi.org/10.1007/978-3-030-04161-8_3

zbMATH Keywords

stochastic differential equationstate-space filtering methods

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Generation, random and stochastic difference and differential equations (37H10) PDEs with randomness, stochastic partial differential equations (35R60)

Cites Work

• Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
• Limit theorems for functionals of mixing processes with applications to $U$-statistics and dimension estimation
• ‘Intractable and unsolved’: some thoughts on statistical data assimilation with uncertain static parameters
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