Parameter Estimation of Linear Stochastic Differential Equations with Sparse Observations.
Yuecai HanZhe YinDingwen ZhangPublished in: Symmetry (2022)
Keyphrases
- parameter estimation
- stochastic differential equations
- model selection
- maximum likelihood
- least squares
- em algorithm
- markov random field
- random fields
- parameter estimation algorithm
- structure learning
- high dimensional
- brownian motion
- posterior distribution
- expectation maximization
- approximate inference
- multiresolution
- maximum a posteriori
- steady state
- linear model
- hidden markov models
- maximum a posteriori estimation
- reinforcement learning