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A methodological framework for Monte Carlo probabilistic inference for diffusion processes
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Papaspiliopoulos, Omiros (2009) A methodological framework for Monte Carlo probabilistic inference for diffusion processes. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2009 (No.31).
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Official URL: http://www2.warwick.ac.uk/fac/sci/statistics/crism...
Abstract
The methodological framework developed and reviewed in this article concerns the
unbiased Monte Carlo estimation of the transition density of a diffusion process, and
the exact simulation of diffusion processes. The former relates to auxiliary variable
methods, and it builds on a rich generic Monte Carlo machinery of unbiased estimation
and simulation of infinite series expansions which relates to techniques used
in diverse scientific areas such as population genetics and operational research. The
latter is a recent significant advance in the numerics for diffusions, it is based on the
so-called Wiener-Poisson factorization of the diffusion measure, and it has interesting
connections to exact simulation of killing times for the Brownian motion and
interacting particle systems, which are uncovered in this article. A concrete application
to probabilistic inference for diffusion processes is presented by considering
the continuous-discrete non-linear filtering problem.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Monte Carlo method, Diffusion processes | ||||
Series Name: | Working papers | ||||
Publisher: | University of Warwick. Centre for Research in Statistical Methodology | ||||
Place of Publication: | Coventry | ||||
Official Date: | 2009 | ||||
Dates: |
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Volume: | Vol.2009 | ||||
Number: | No.31 | ||||
Number of Pages: | 24 | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Date of first compliant deposit: | 1 August 2016 | ||||
Date of first compliant Open Access: | 1 August 2016 | ||||
Funder: | Spain | ||||
Grant number: | MTM2008-06660 (Spain) |
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