Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering

Computational Statistics

Volumn 28, Issue 3, 2013, Pages 1195-1223

  Mbalawata, Isambi S ^a   Särkkä, Simo ^b   Haario, Heikki ^a  

^a LAPPEENRANTA UNIVERSITY OF TECHNOLOGY   (Finland)

^b AALTO UNIVERSITY   (Finland)

Author keywords

Hamiltonian Monte Carlo; Kalman filter; Markov chain Monte Carlo; Matrix fraction decomposition; Parameter estimation; Stochastic differential equation

Indexed keywords

EID: 84878570315     PISSN: 09434062     EISSN: 16139658     Source Type: Journal    
DOI: 10.1007/s00180-012-0352-y     Document Type: Article

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