Bayesian Static Parameter Estimation for Partially Observed Diffusions via Multilevel Monte Carlo.
Ajay JasraKengo KamataniKody J. H. LawYan ZhouPublished in: SIAM J. Sci. Comput. (2018)
Keyphrases
- parameter estimation
- monte carlo
- partially observed
- maximum likelihood
- posterior distribution
- monte carlo methods
- markov chain monte carlo
- bayesian model selection
- least squares
- importance sampling
- monte carlo simulation
- em algorithm
- markov chain
- model selection
- markov random field
- markov fields
- parameter estimation algorithm
- adaptive sampling
- approximate inference
- random fields
- markovian decision
- expectation maximization
- particle filter
- monte carlo tree search
- matrix inversion
- estimation problems
- decision theory
- maximum likelihood estimation
- pairwise
- bayesian inference
- variance reduction
- game tree
- posterior probability
- latent variables
- higher order
- maximum a posteriori