Bayesian inference for irreducible diffusion processes using the pseudo-marginal approach

DOI10.1214/11-BA608zbMath1330.60092MaRDI QIDQ2634087

Osnat Stramer, Matthew A. Bognar

Publication date: 8 February 2016

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ba/1339612045

zbMATH Keywords

diffusion processMarkov chain Monte Carlo (MCMC)Euler discretizationgrouped independence metropolis-Hastings (GIMH)Monte Carlo within Metropolis (MCWM)pseudo-marginal (PM) algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Applications of statistics to economics (62P20) Software, source code, etc. for problems pertaining to statistics (62-04) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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