Hypoelliptic Diffusions: Filtering and Inference from Complete and Partial Observations
From MaRDI portal
Publication:5234405
DOI10.1111/rssb.12307zbMath1420.62094arXiv1707.04235OpenAlexW2906421926MaRDI QIDQ5234405
Adeline Samson, Susanne Ditlevsen
Publication date: 26 September 2019
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/1707.04235
parameter estimationparticle filterhypoelliptic diffusionapproximate maximum likelihood1.5 strong order discretization schemestochastic approximation expectation-maximization algorithm
Inference from stochastic processes and prediction (62M20) Point estimation (62F10) Diffusion processes (60J60)
Related Items
A splitting method for SDEs with locally Lipschitz drift: illustration on the FitzHugh-Nagumo model ⋮ Weak approximation of SDEs for tempered distributions and applications ⋮ A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus ⋮ Simulation of elliptic and hypo-elliptic conditional diffusions ⋮ Parametric inference for hypoelliptic ergodic diffusions with full observations ⋮ Operator splitting around Euler–Maruyama scheme and high order discretization of heat kernels ⋮ Adaptive estimation for degenerate diffusion processes ⋮ Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion ⋮ Estimating the characteristics of stochastic damping Hamiltonian systems from continuous observations ⋮ Rate of estimation for the stationary distribution of stochastic damping Hamiltonian systems with continuous observations ⋮ Optimal control for parameter estimation in partially observed hypoelliptic stochastic differential equations
