Bayesian inference for nonlinear multivariate diffusion models observed with error

Computational Statistics and Data Analysis

Volumn 52, Issue 3, 2008, Pages 1674-1693

  Golightly, A ^a   Wilkinson, D J ^a  

^a NEWCASTLE UNIVERSITY   (United Kingdom)

Author keywords

Bayesian inference; Innovation scheme; MCMC; Nonlinear stochastic differential equation; Particle filter; Reparameterisation

Indexed keywords

BAYESIAN NETWORKS; COMPUTER SIMULATION; ERROR ANALYSIS; FUZZY INFERENCE; MARKOV PROCESSES; MONTE CARLO METHODS; MULTIVARIABLE SYSTEMS;

BAYESIAN INFERENCE; EULER MARUYAMA APPROXIMATION; INNOVATION SCHEME; NONLINEAR STOCHASTIC DIFFERENTIAL EQUATION; PARTICLE FILTER; REPARAMETERISATION;

NONLINEAR ANALYSIS;

EID: 35549009345     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2007.05.019     Document Type: Article

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