Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC.
Simo SärkkäJouni HartikainenIsambi Sailon MbalawataHeikki HaarioPublished in: Stat. Comput. (2015)
Keyphrases
- markov chain monte carlo
- parameter estimation
- gaussian filtering
- stochastic differential equations
- posterior distribution
- bayesian inference
- hyperparameters
- markov chain
- maximum a posteriori estimation
- approximate inference
- generative model
- posterior probability
- gabor filtering
- particle filter
- maximum likelihood
- probability distribution
- bayesian networks
- brownian motion
- expectation maximization
- gaussian filter
- conditional random fields
- natural images
- digital filters
- graphical models
- markov random field