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Filtering systems of coupled stochastic differential equations partially observed at high frequency
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Fearnhead, Paul, Papaspiliopoulos, Omiros, Roberts, Gareth O. and Stuart, A. M. (2007) Filtering systems of coupled stochastic differential equations partially observed at high frequency. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. (Working papers).

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Abstract
We consider online analysis of systems of stochastic differential equations (SDEs), from highfrequency data. The class of SDEs we focus on have constant volatility and a drift function that is of gradient form. For these models we present a particle filter that is able to analyse the full data, but whose computational cost does not increase as the frequency of the data increases. The method is based on novel extensions of the exact algorithm for simulation and inference of diffusions, and the filters do not need to introduce any approximations through timediscretisation of the process. The new methods have important practical and theoretical advantages over existing filtering methods for this problem. We demonstrate our method on a number of simulated examples, including two motivated by molecular dynamics.
Item Type:  Working or Discussion Paper (Working Paper) 

Subjects:  Q Science > QA Mathematics 
Divisions:  Faculty of Science > Statistics 
Library of Congress Subject Headings (LCSH):  Stochastic differential equations, Filters (Mathematics) 
Series Name:  Working papers 
Publisher:  University of Warwick. Centre for Research in Statistical Methodology 
Place of Publication:  Coventry 
Date:  2007 
Volume:  Vol.2007 
Number:  No.11 
Number of Pages:  29 
Status:  Not Peer Reviewed 
Access rights to Published version:  Open Access 
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URI:  http://wrap.warwick.ac.uk/id/eprint/35542 
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