Bridge.jl
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Source code repository: https://github.com/mschauer/Bridge.jl
Related Items (17)
Sequential Monte Carlo with Highly Informative Observations ⋮ Diffusion Bridges for Stochastic Hamiltonian Systems and Shape Evolutions ⋮ Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals ⋮ Bayesian estimation of incompletely observed diffusions ⋮ Stability of sampling proposals for reducible diffusions over large time intervals ⋮ A geometric framework for stochastic shape analysis ⋮ Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions ⋮ Improved bridge constructs for stochastic differential equations ⋮ An analysis of approximation algorithms for iterated stochastic integrals and a Julia and \textsc{Matlab} simulation toolbox ⋮ Simulation of elliptic and hypo-elliptic conditional diffusions ⋮ Continuous-discrete smoothing of diffusions ⋮ Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis ⋮ A piecewise deterministic Monte Carlo method for diffusion bridges ⋮ Efficient sampling of conditioned Markov jump processes ⋮ Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models ⋮ Bayesian inference for Markov jump processes with informative observations ⋮ Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes
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