Markov chain Monte Carlo for exact inference for diffusions

Details Markov chain Monte Carlo for exact inference for diffusions Markov chain Monte Carlo for exact inference for diffusions

2011-02-27

arxiv.org/abs/1102.5541v1

Statistics

Methodology

29 pages, 6 Figures, 2 Tables

Scientific paper

We develop exact Markov chain Monte Carlo methods for discretely-sampled, directly and indirectly observed diffusions. The qualification "exact" refers to the fact that the invariant and limiting distribution of the Markov chains is the exact posterior distribution of the parameters of interest. The class of processes to which our methods directly apply are those which can be simulated using the most general to date exact simulation algorithm. The article introduces various methods to boost the performance of the basic scheme, including reparametrizations and auxiliary Poisson sampling. We contrast both theoretically and empirically how this new approach compares to irreducible high frequency imputation, which is the state-of-the-art alternative for the class of processes we consider, and we uncover intriguing connections. All methods discussed in the article are tested on typical examples.

Affiliated with

Also associated with

No associations

Rating

Markov chain Monte Carlo for exact inference for diffusions does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Markov chain Monte Carlo for exact inference for diffusions, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Markov chain Monte Carlo for exact inference for diffusions will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-54230