Stability of sampling proposals for reducible diffusions over large time intervals

DOI10.1080/03610926.2020.1856876OpenAlexW3111819223MaRDI QIDQ5096002

David Suda

Publication date: 12 August 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1856876

zbMATH Keywords

stabilitystatistical inferencediffusion bridgessampling proposals

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Diffusion processes (60J60)

Uses Software

• Bridge.jl
• BayesEstDiffusion.jl

Cites Work

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• A regularized bridge sampler for sparsely sampled diffusions
• Simulation of conditioned diffusion and application to parameter estimation
• Statistical inference for ergodic diffusion processes.
• The sample size required in importance sampling
• Improved bridge constructs for stochastic differential equations
• Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals
• Guided proposals for simulating multi-dimensional diffusion bridges
• On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
• Miscellanea. A statistical method of estimation and simulation for systems of stochastic differential equations
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• Semi-Stable Stochastic Processes
• References
• Stochastic differential equations. An introduction with applications.

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