A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations.
Libo SunChihoon LeeJennifer A. HoetingPublished in: Comput. Stat. Data Anal. (2015)
Keyphrases
- maximum likelihood
- parameter estimation
- stochastic differential equations
- em algorithm
- random fields
- likelihood function
- fractional brownian motion
- maximum a posteriori estimation
- brownian motion
- parameter estimation algorithm
- expectation maximization
- gaussian distribution
- posterior distribution
- structure learning
- hyperparameters
- parameter estimates
- image processing
- approximate inference
- gaussian mixture model
- additive gaussian noise