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Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals

18 June 2014

Frank van der Meulen

Papers citing "Bayesian estimation of discretely observed multi-dimensional diffusion processes using guided proposals"

32 / 32 papers shown

Title
Neural Guided Diffusion Bridges Gefan Yang Frank van der Meulen Stefan Sommer DiffM 92 0 0 17 Feb 2025
SDE Matching: Scalable and Simulation-Free Training of Latent Stochastic Differential Equations Grigory Bartosh Dmitry Vetrov C. A. Naesseth 121 0 0 04 Feb 2025
Meta-Posterior Consistency for the Bayesian Inference of Metastable System Zachary P Adams Sayan Mukherjee 57 0 0 03 Aug 2024
Statistical algorithms for low-frequency diffusion data: A PDE approach Matteo Giordano Sven Wang 69 4 0 02 May 2024
Score matching for sub-Riemannian bridge sampling E. Grong Karen Habermann Stefan Sommer 73 2 0 23 Apr 2024
Efficient estimation for ergodic diffusion processes sampled at high frequency Michael Sorensen 29 1 0 09 Jan 2024
Towards Data-Conditional Simulation for ABC Inference in Stochastic Differential Equations P. Jovanovski Andrew Golightly Umberto Picchini 61 1 0 16 Oct 2023
Consistent inference for diffusions from low frequency measurements Richard Nickl 52 8 0 24 Oct 2022
Bridge Simulation and Metric Estimation on Lie Groups and Homogeneous Spaces Mathias Højgaard Jensen Lennard Hilgendorf S. Joshi Stefan Sommer 154 1 0 01 Dec 2021
Simulating Diffusion Bridges with Score Matching J. Heng Valentin De Bortoli Arnaud Doucet James Thornton 117 45 0 14 Nov 2021
Flexible Bayesian inference for diffusion processes using splines Paul A. Jenkins M. Pollock Gareth O. Roberts 37 1 0 10 Jun 2021
Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices Mai Bui Y. Pokern P. Dellaportas 75 11 0 07 Apr 2021
Automatic Backward Filtering Forward Guiding for Markov processes and graphical models Frank van der Meulen Moritz Schauer 74 12 0 07 Oct 2020
Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes Andrew Golightly Chris Sherlock 65 3 0 11 Sep 2020
Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models A. Beskos Dan Crisan Ajay Jasra N. Kantas Hamza Ruzayqat DiffM 46 12 0 18 Aug 2020
Online Smoothing for Diffusion Processes Observed with Noise S. Yonekura A. Beskos 40 9 0 27 Mar 2020
A piecewise deterministic Monte Carlo method for diffusion bridges J. Bierkens Sebastiano Grazzi Frank van der Meulen Moritz Schauer DiffM 83 22 0 16 Jan 2020
Bayesian nonparametric estimation in the current status continuous mark model G. Jongbloed Frank van der Meulen L. Pang 61 1 0 23 Nov 2019
The Neural Moving Average Model for Scalable Variational Inference of State Space Models Tom Ryder D. Prangle Andrew Golightly Isaac Matthews BDL AI4TS 83 6 0 02 Oct 2019
Adaptive posterior contraction rates for empirical Bayesian drift estimation of a diffusion J. van Waaij 48 2 0 27 Sep 2019
AReS and MaRS - Adversarial and MMD-Minimizing Regression for SDEs G. Abbati Philippe Wenk Michael A. Osborne Andreas Krause Bernhard Schölkopf Stefan Bauer DiffM 49 15 0 22 Feb 2019
Simulation of elliptic and hypo-elliptic conditional diffusions J. Bierkens Frank van der Meulen Moritz Schauer 116 19 0 03 Oct 2018
Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions Richard Nickl Kolyan Ray 81 52 0 03 Oct 2018
Bayesian Inference for Diffusion Processes: Using Higher-Order Approximations for Transition Densities Susanne Pieschner Christiane Fuchs 26 6 0 06 Jun 2018
Nonparametric Bayesian volatility learning under microstructure noise S. Gugushvili Frank van der Meulen Moritz Schauer Peter Spreij 14 2 0 15 May 2018
Nonparametric Bayesian inference for Gamma-type Lévy subordinators Denis Belomestny S. Gugushvili Moritz Schauer Peter Spreij 48 10 0 30 Apr 2018
Black-box Variational Inference for Stochastic Differential Equations Tom Ryder Andrew Golightly A. Mcgough D. Prangle 91 58 0 09 Feb 2018
Nonparametric Bayesian volatility estimation S. Gugushvili Frank van der Meulen Moritz Schauer Peter Spreij 44 6 0 30 Jan 2018
Continuous-discrete smoothing of diffusions Marcin Mider Moritz Schauer Frank van der Meulen 58 30 0 11 Dec 2017
On residual and guided proposals for diffusion bridge simulation Frank van der Meulen Moritz Schauer DiffM 28 4 0 16 Aug 2017
Nonparametric Bayesian estimation of a Hölder continuous diffusion coefficient S. Gugushvili Frank van der Meulen Moritz Schauer Peter Spreij 56 6 0 22 Jun 2017
Improved bridge constructs for stochastic differential equations G. Whitaker Andrew Golightly R. Boys Chris Sherlock 55 42 0 30 Sep 2015