Parameter Estimation for Partially Observed Hypoelliptic Diffusions

DOI10.1111/j.1467-9868.2008.00689.xzbMath1231.62152arXiv0710.5442OpenAlexW2592960865MaRDI QIDQ3551031

Petter Wiberg, Yvo Pokern, Andrew M. Stuart

Publication date: 8 April 2010

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0710.5442

zbMATH Keywords

numerical methodsGibbs samplerpartial observations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to biology and medical sciences; meta analysis (62P10) Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40)

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Uses Software

• mctoolbox
• CHARMM

Cites Work

• Molecular modeling and simulation. An interdisciplinary guide.
• Estimation, control, and the discrete Kalman filter
• On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
• Stochastic Calculus
• Brownian motion in a field of force and the diffusion model of chemical reactions
• Monte Carlo strategies in scientific computing
• Stochastic differential equations. An introduction with applications.
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