Continuous-discrete smoothing of diffusions
نویسندگان
چکیده
Suppose X is a multivariate diffusion process that observed discretely in time. At each observation time, transformation of the state with noise. The smoothing problem consists recovering path process, consistent observations. We derive novel Markov Chain Monte Carlo algorithm to sample from exact distribution. resulting called Backward Filtering Forward Guiding (BFFG) algorithm. extend include parameter estimation. proposed method relies on guided proposals introduced [53]. illustrate its efficiency number challenging problems.
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ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2021
ISSN: ['1935-7524']
DOI: https://doi.org/10.1214/21-ejs1894