Continuous-discrete smoothing of diffusions
From MaRDI portal
Publication:2233574
DOI10.1214/21-EJS1894zbMath1475.60150arXiv1712.03807MaRDI QIDQ2233574
Marcin Mider, Moritz Schauer, Frank H. van der Meulen
Publication date: 11 October 2021
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1712.03807
Markov chain Monte CarlofilteringLorenz systemdata assimilationpartial observationschemical reaction networkguided proposaldiffusion bridgestochastic heat equation on a graph
Related Items
Diffusion Bridges for Stochastic Hamiltonian Systems and Shape Evolutions ⋮ Conditioning diffusions with respect to incomplete observations ⋮ Statistics of stochastic differential equations on manifolds and stratified spaces. Abstracts from the workshop held October 3--9, 2021 (hybrid meeting) ⋮ A piecewise deterministic Monte Carlo method for diffusion bridges
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Parameter estimation and change-point detection from dynamic contrast enhanced MRI data using stochastic differential equations
- Simulation of forward-reverse stochastic representations for conditional diffusions
- A regularized bridge sampler for sparsely sampled diffusions
- Simulation of conditioned diffusion and application to parameter estimation
- Bayesian inference for nonlinear multivariate diffusion models observed with error
- Reversible jump MCMC for nonparametric drift estimation for diffusion processes
- Improved bridge constructs for stochastic differential equations
- Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators
- Controlled sequential Monte Carlo
- Stochastic level set dynamics to track closed curves through image data
- Sampling the posterior: an approach to non-Gaussian data assimilation
- Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals
- Guided proposals for simulating multi-dimensional diffusion bridges
- A geometric framework for stochastic shape analysis
- Exact simulation of diffusions
- Application of Girsanov theorem to particle filtering of discretely observed continuous-time non-linear systems
- On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
- Inference for Diffusion Processes
- Julia: A Fresh Approach to Numerical Computing
- Simulation of elliptic and hypo-elliptic conditional diffusions
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- MCMC METHODS FOR DIFFUSION BRIDGES
- Particle Filters for Partially Observed Diffusions
- The Calculation of Posterior Distributions by Data Augmentation
- Explicit Runge–Kutta Methods with Estimates of the Local Truncation Error
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
- Nonparametric Bayesian label prediction on a large graph using truncated Laplacian regularization
- Bayesian estimation of incompletely observed diffusions
- Stochastic Equations in Infinite Dimensions
- On Generating Monte Carlo Samples of Continuous Diffusion Bridges
- Simulation of Multivariate Diffusion Bridges
- Bayesian Inference for Stochastic Kinetic Models Using a Diffusion Approximation
- An adaptive Metropolis algorithm
- MCMC methods for functions: modifying old algorithms to make them faster
