Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
create a website

Bayesian State-Space Modelling on High-Performance Hardware Using LibBi. (2015). Murray, Lawrence M.
In: Journal of Statistical Software.
RePEc:jss:jstsof:v:067:i10.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 79

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Assessing the performance of real-time epidemic forecasts: A case study of Ebola in the Western Area region of Sierra Leone, 2014-15. (2019). Edmunds, John W ; Eggo, Rosalind M ; Lowe, Rachel ; Kucharski, Adam J ; Camacho, Anton ; Funk, Sebastian.
    In: PLOS Computational Biology.
    RePEc:plo:pcbi00:1006785.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Affiliation: Lawrence M. Murray Department of Statistics University of Oxford Oxford, United Kingdom E-mail: murray@stats.ox.ac.uk Journal of Statistical Software http://www.jstatsoft.org/ published by the Foundation for Open Access Statistics http://www.foastat.org/ October 2015, Volume 67, Issue 10 Submitted: 2013-06-16 doi:10.18637/jss.v067.i10 Accepted: 2014-11-21
    Paper not yet in RePEc: Add citation now
  2. Alspach D, Sorenson H (1972). “Nonlinear Bayesian Estimation Using Gaussian Sum Approximations. ” IEEE Transactions on Automatic Control, 17, 439–448. doi:10.1109/tac. 1972.1100034.
    Paper not yet in RePEc: Add citation now
  3. Amdahl G (1967). “Validity of the Single Processor Approach to Achieving Large-Scale Computing Capabilities.” AFIPS Conference Proceedings, 30, 483–485. doi:10.1145/ 1465482.1465560.
    Paper not yet in RePEc: Add citation now
  4. Andrieu C, Doucet A, Holenstein R (2010). “Particle Markov Chain Monte Carlo Methods.” Journal of the Royal Statistical Society B, 72, 269–302. doi:10.1111/j.1467-9868.2009. 00736.x. Andrieu C, Thoms J (2008). “A Tutorial on Adaptive MCMC.” Statistical Computing, 18, 343–373. doi:10.1007/s11222-008-9110-y.
    Paper not yet in RePEc: Add citation now
  5. Back T (1996). Evolutionary Algorithms in Theory and Practice. Oxford University Press.
    Paper not yet in RePEc: Add citation now

  6. Beskos A, Papaspiliopoulos O, Roberts GO, Fearnhead P (2006). “Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes.” Journal of the Royal Statistical Society B, 68, 333–382. doi:10.1111/j.1467-9868.2006.00552.x. Bolić M, Djurić PM, Hong S (2005). “Resampling Algorithms and Architectures for Distributed Particle Filters.” IEEE Transactions on Signal Processing, 53, 2442–2450. doi: 10.1109/tsp.2005.849185.

  7. Cérou F, Del Moral P, Guyader A (2011). “A Nonasymptotic Theorem for Unnormalized Feynman-Kac Particle Models.” Annales de l’Institut Henri Poincaré, Probabilités et Statistiques, 47(3), 629–649. doi:10.1214/10-aihp358.
    Paper not yet in RePEc: Add citation now

  8. Chopin N, Jacob PE, Papaspiliopoulos O (2013). “SMC2: An Efficient Algorithm for Sequential Analysis of State Space Models.” Journal of the Royal Statistical Society B, 75, 397–426. doi:10.1111/j.1467-9868.2012.01046.x.

  9. Clifford D, Pagendam D, Baldock J, Cressie N, Farquharson R, Farrell M, Macdonald L, Murray L (2014). “Rethinking Soil Carbon Modelling: A Stochastic Approach to Quantify Uncertainties.” Environmetrics, 25(4), 265–278. doi:10.1002/env.2271.
    Paper not yet in RePEc: Add citation now

  10. Craiu R, Rosenthal J, Yang C (2009). “Learn From Thy Neighbor: Parallel-Chain and Regional Adaptive MCMC.” Journal of the American Statistical Association, 104, 1454– 1466. doi:10.1198/jasa.2009.tm08393.

  11. Del Moral P (2004). Feynman-Kac Formulae: Genealogical and Interacting Particle Systems with Applications. Springer-Verlag.
    Paper not yet in RePEc: Add citation now
  12. DeRemer F (1969). Practical Translators for LR(k) Languages. Ph.D. thesis, Massachusetts Institute of Technology, Cambridge.
    Paper not yet in RePEc: Add citation now
  13. Doucet A, Freitas N, Gordon N (eds.) (2001). Sequential Monte Carlo Methods in Practice. Springer-Verlag.
    Paper not yet in RePEc: Add citation now
  14. Doucet A, Pitt M, Kohn R (2013). “Efficient Implementation of Markov Chain Monte Carlo When Using an Unbiased Likelihood Estimator.” URL http://arxiv.org/abs/1210.1871.
    Paper not yet in RePEc: Add citation now
  15. Dowd M (2006). “A Sequential Monte Carlo Approach for Marine Ecological Prediction.” Environmetrics, 17, 435–455. doi:10.1002/env.780.
    Paper not yet in RePEc: Add citation now
  16. Dowd M (2011). “Estimating Parameters for a Stochastic Dynamic Marine Ecological System.
    Paper not yet in RePEc: Add citation now
  17. Eaton J (2002). GNU Octave Manual. Network Theory Limited. ISBN 0-9541617-2-6.
    Paper not yet in RePEc: Add citation now
  18. Evensen G (1994). “Sequential Data Assimilation with a Nonlinear Quasi-Geostrophic Model Using Monte-Carlo Methods to Forecast Error Statistics.” Journal of Geophysical ResearchOceans, 99(C5), 10143–10162. doi:10.1029/94jc00572.
    Paper not yet in RePEc: Add citation now

  19. Fearnhead P, Papaspiliopoulos O, Roberts G (2008). “Particle Filters for Partially Observed Diffusions.” Journal of the Royal Statistical Society B, 70, 755–777. doi:10.1111/j. 1467-9868.2008.00661.x. Fearnhead P, Papaspiliopoulos O, Roberts G, Stuart A (2010). “Random-Weight Particle Filtering of Continuous Time Processes.” Journal of the Royal Statistical Society B, 72(4), 497–512. doi:10.1111/j.1467-9868.2010.00744.x. Frank O (1899). “Die Grundform des arteriellen Pulses. Erste Abhandlung: Mathematische Analyse.” Zeitschrift fuer Biologie, 37, 483–526.

  20. Frantz DD, Freeman DL, Doll JD (1990). “Reducing Quasi-Ergodic Behavior in Monte Carlo Simulations by J-Walking: Applications to Atomic Clusters.” Journal of Chemical Physics, 93, 2769–2784. doi:10.1063/1.458863.
    Paper not yet in RePEc: Add citation now
  21. Gardiner C (2004). Handbook of Stochastic Methods for Physics, Chemistry and the Natural Sciences. 3rd edition. Springer-Verlag.
    Paper not yet in RePEc: Add citation now
  22. Geyer C, Thompson E (1995). “Annealing Markov Chain Monte Carlo with Applications to Ancestral Inference.” Journal of the American Statistical Association, 90, 909–920. doi: 10.1080/01621459.1995.10476590.
    Paper not yet in RePEc: Add citation now
  23. Geyer CJ (1991). “Markov Chain Monte Carlo Maximum Likelihood.” In ED Keramidas (ed.), Computing Science and Statistics: Proceedings of the 23rd Symposium on the Interface, pp. 156–163. doi:10.1080/01621459.1995.10476590.
    Paper not yet in RePEc: Add citation now
  24. Gilks W, Roberts G, Sahu S (1998). “Adaptive Markov Chain Monte Carlo through Regeneration.” Journal of the American Statistical Association, 93, 1045–1054. doi: 10.1080/01621459.1998.10473766.
    Paper not yet in RePEc: Add citation now
  25. Golightly A, Wilkinson D (2011). “Bayesian Parameter Inference for Stochastic Biochemical Network Models Using Particle Markov Chain Monte Carlo.” Interface Focus, 1, 807–820.
    Paper not yet in RePEc: Add citation now

  26. Golightly A, Wilkinson DJ (2008). “Bayesian Inference for Nonlinear Multivariate Diffusion Models Observed with Error.” Computational Statistics & Data Analysis, 52, 1674–1693. doi:10.1016/j.csda.2007.05.019.

  27. Gordon NJ, Salmond DJ, Smith AFM (1993). “Novel Approach to Nonlinear/Non-Gaussian Bayesian State Estimation.” IEE Proceedings-F, 140, 107–113. doi:10.1049/ip-f-2. 1993.0015.
    Paper not yet in RePEc: Add citation now
  28. Hastings WK (1970). “Monte Carlo Sampling Methods Using Markov Chains and Their Applications.” Biometrika, 57, 97–109.
    Paper not yet in RePEc: Add citation now
  29. HDF Group (2013). “HDF5.” Hierarchical Data Format, URL http://www.hdfgroup.org/ HDF5/.
    Paper not yet in RePEc: Add citation now
  30. High-Performance Bayesian State-Space Modelling Using LibBi Geman S, Geman D (1984). “Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images.” IEEE Transactions on Pattern Analysis and Machine Intelligence, 6, 721–741. doi:10.1109/tpami.1984.4767596.
    Paper not yet in RePEc: Add citation now
  31. High-Performance Bayesian State-Space Modelling Using LibBi Milstein G, Tretyakov M (2004). Stochastic Numerics for Mathematical Physics. Scientific Computation. Springer-Verlag. doi:10.1007/978-3-662-10063-9.
    Paper not yet in RePEc: Add citation now
  32. High-Performance Bayesian State-Space Modelling Using LibBi Todeschini A, Caron F (2013). “BiiPS: Bayesian Inference with Interacting Particle Systems.” URL https://alea.bordeaux.inria.fr/biips/.
    Paper not yet in RePEc: Add citation now
  33. Hoffman M, Gelman A (2014). “The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo.” Journal of Machine Learning Research, 15, 1593–1623. In press.
    Paper not yet in RePEc: Add citation now
  34. Hosack G, Peters G, Hayes, R K (2012). “Estimating Density Dependence and Latent Population Trajectories with Unknown Observation Error.” Methods in Ecology and Evolution, 3(6), 1028–1038. doi:10.1111/j.2041-210x.2012.00218.x. Jacob P, Murray L, Rubenthaler S (2015). “Path Storage in the Particle Filter.” Statistics and Computing, 25(2), 487–496. doi:10.1007/s11222-013-9445-x.
    Paper not yet in RePEc: Add citation now

  35. Johansen AM (2009). “SMCTC: Sequential Monte Carlo in C++.” Journal of Statistical Software, 30(6), 1–41. doi:10.18637/jss.v030.i06.

  36. Jones E, Parslow J, Murray L (2010). “A Bayesian Approach to State and Parameter Estimation in a Phytoplankton-Zooplankton Model.” Australian Meteorological and Oceanographic Journal, 59(SP), 7–16.
    Paper not yet in RePEc: Add citation now
  37. Journal of Statistical Software 31 Del Moral P, Doucet A, Jasra A (2006). “Sequential Monte Carlo Samplers.” Journal of the Royal Statistical Society B, 68, 441–436. doi:10.1111/j.1467-9868.2006.00553.x. Del Moral P, Jacob P, Lee A, Murray L, Peters G (2013). “Feynman-Kac Particle Integration with Geometric Interacting Jumps.” Journal of Stochastic Analysis and Applications, 31(5), 830–871. doi:10.1080/07362994.2013.817247.
    Paper not yet in RePEc: Add citation now
  38. Julier S, Uhlmann J (1997). “A New Extension of the Kalman Filter to Nonlinear Systems.” In The Proceedings of AeroSense: The 11th International Symposium on Aerospace/Defense Sensing, Simulation and Controls, Multi Sensor Fusion, Tracking and Resource Management. doi:10.1117/12.280797.
    Paper not yet in RePEc: Add citation now
  39. Kalman RE (1960). “A New Approach to Linear Filtering and Prediction Problems.” Journal of Basic Engineering, 82, 35–45. doi:10.1115/1.3662552.
    Paper not yet in RePEc: Add citation now
  40. Kind T, Faes T, Lankhaar JW, Vonk-Noordegraaf A, Verhaegen M (2010). “Estimation of Three- And Four-Element Windkessel Parameters Using Subspace Model Identification.” IEEE Transactions on Biomedical Engineering, 57, 1531–1538. doi:10.1109/tbme.2010. 2041351.
    Paper not yet in RePEc: Add citation now
  41. Kitagawa G (1996). “Monte Carlo Filter and Smoother for Non-Gaussian Nonlinear State Space Models.” Journal of Computational and Graphical Statistics, 5, 1–25. doi:10.2307/ 1390750.
    Paper not yet in RePEc: Add citation now
  42. Kloeden P, Platen E (1992). Numerical Solution of Stochastic Differential Equations.
    Paper not yet in RePEc: Add citation now
  43. Laskey K, Myers J (2003). “Population Markov Chain Monte Carlo.” Machine Learning, 50, 175–196. doi:10.1023/a:1020206129842.
    Paper not yet in RePEc: Add citation now
  44. Lee A, Whiteley N (2014). “Forest Resampling for Distributed Sequential Monte Carlo.” URL http://arxiv.org/abs/1406.6010.
    Paper not yet in RePEc: Add citation now
  45. Lee A, Yau C, Giles M, Doucet A, Holmes C (2010). “On the Utility of Graphics Cards to Perform Massively Parallel Simulation of Advanced Monte Carlo Methods.” Journal of Computational and Graphical Statistics, 19, 769–789. doi:10.1198/jcgs.2010.10039.
    Paper not yet in RePEc: Add citation now
  46. Lorenz E (2006). “3: Predictability – A Problem Partly Solved.” In T Palmer, R Hagedorn (eds.), Predictability of Weather and Climate, pp. 40–58. Cambridge University Press. doi: 10.1017/cbo9780511617652.004.
    Paper not yet in RePEc: Add citation now
  47. Lunn D, Jackson C, Best N, Thomas A, Spiegelhalter D (2012). The BUGS Book: A Practical Introduction to Bayesian Analysis. CRC Press / Chapman and Hall.
    Paper not yet in RePEc: Add citation now
  48. Lunn D, Thomas A, Best N, Spiegelhalter D (2000). “WinBUGS – A Bayesian Modelling Framework: Concepts, Structure and Extensibility.” Statistics and Computing, 10, 325–337. doi:10.1023/a:1008929526011.
    Paper not yet in RePEc: Add citation now
  49. Marinari E, Parisi G (1992). “Simulated Tempering: A New Monte Carlo Scheme.” Europhysics Letters, 19, 451–458.
    Paper not yet in RePEc: Add citation now
  50. MPI Forum (2013). “MPI: Message Passing Interface.” URL http://www.mpi-forum.org/.
    Paper not yet in RePEc: Add citation now
  51. Murray L (2011). “GPU Acceleration of the Particle Filter: The Metropolis Resampler.” In DMMD: Distributed Machine Learning and Sparse Representation with Massive Data Sets.
    Paper not yet in RePEc: Add citation now
  52. Murray L (2012). “GPU Acceleration of Runge-Kutta Integrators.” IEEE Transactions on Parallel and Distributed Systems, 23, 94–101. doi:10.1109/tpds.2011.61.
    Paper not yet in RePEc: Add citation now
  53. Murray L (2013). “LibBi: Library for Bayesian Inference.” URL http://www.libbi.org/.
    Paper not yet in RePEc: Add citation now
  54. Murray L, Jones E, Parslow J (2013). “On Disturbance State-Space Models and the Particle Marginal Metropolis-Hastings Sampler.” SIAM/ASA Journal of Uncertainty Quantification, 1(1), 494–521. doi:10.1137/130915376.
    Paper not yet in RePEc: Add citation now
  55. Murray L, Lee A, Jacob P (2014). “Parallel Resampling in the Particle Filter.” In review, URL http://arxiv.org/abs/1301.4019.
    Paper not yet in RePEc: Add citation now
  56. Murray L, Storkey A (2008). “Continuous Time Particle Filtering for fMRI.” In Advances in Neural Information Processing Systems, volume 20, pp. 1049–1056. MIT Press.
    Paper not yet in RePEc: Add citation now
  57. Neal R (1996). “Sampling from Multimodal Distributions Using Tempered Transitions.” Statistics and Computing, 6, 353–366. doi:10.1007/bf00143556.
    Paper not yet in RePEc: Add citation now
  58. Neal R (2011). “5: MCMC Using Hamiltonian Dynamic.” In S Brooks, A Gelman, G Jones, XL Meng (eds.), Handbook of Markov Chain Monte Carlo, pp. 113–162. CRC Press / Chapman and Hall.
    Paper not yet in RePEc: Add citation now

  59. Newman K, Fernández C, Thomas L, Buckland S (2009). “Monte Carlo Inference for StateSpace Models of Wild Animal Populations.” Biometrics, 65(2), 572–583. doi:10.1111/j. 1541-0420.2008.01073.x. NVIDIA Corporation (2013). “CUDA: Compute Unified Device Architecture.” URL http: //www.nvidia.com/cuda/.

  60. OpenMP Architecture Review Board (2013). “OpenMP: The OpenMP API Specification for Parallel Computing.” URL http://www.openmp.org/.
    Paper not yet in RePEc: Add citation now
  61. Papaspiliopoulos O, Roberts G, Sköld M (2007). “A General Framework for the Parameterisation of Hierarchical Models.” Statistical Science, 22(1), 59–73. doi:10.1214/ 088342307000000014.
    Paper not yet in RePEc: Add citation now
  62. Parslow J, Cressie N, Campbell E, Jones E, Murray L (2013). “Bayesian Learning and Predictability in a Stochastic Nonlinear Dynamical Model.” Ecological Applications, 23(4), 679–698. doi:10.1890/12-0312.1. Journal of Statistical Software 35 Peters G, Hosack G, Hayes K (2011). “Ecological Non-Linear State Space Model Selection via Adaptive Particle Markov Chain Monte Carlo (AdPMCMC).” URL http://arxiv.org/ abs/1005.2238.
    Paper not yet in RePEc: Add citation now

  63. Pitt M, Silva R, Giordani P, Kohn R (2012). “On Some Properties of Markov Chain Monte Carlo Simulation Methods Based on the Particle Filter.” Journal of Econometrics, 171(2), 134–151. doi:10.1016/j.jeconom.2012.06.004.

  64. Plummer M (2003). “JAGS: A Program for Analysis of Bayesian Graphical Models Using Gibbs Sampling.” In K Hornik, F Leisch, A Zeileis (eds.), Proceedings of the 3rd International Workshop on Distributed Statistical Computing, Vienna, Austria. ISSN 1609-395X, URL http://www.ci.tuwien.ac.at/Conferences/DSC-2003/Proceedings/.
    Paper not yet in RePEc: Add citation now
  65. Plummer M (2013). “JAGS: Just Another Gibbs Sampler.” URL http://mcmc-jags. sourceforge.net/.
    Paper not yet in RePEc: Add citation now
  66. Rauch H, Tung F, Striebel C (1965). “Maximum Likelihood Estimates of Linear Dynamic Systems.” AIAA Journal, 3, 1445–1450. doi:10.2514/3.3166.
    Paper not yet in RePEc: Add citation now
  67. Riera J, Watanabe J, Kazuki I, Naoki M, Aubert E, Ozaki T, Kawashim R (2004). “A State-Space Model of the Hemodynamic Approach: Nonlinear Filtering of BOLD Signals.” NeuroImage, 21, 547–567. doi:10.1016/j.neuroimage.2003.09.052.
    Paper not yet in RePEc: Add citation now
  68. Ross P (2008). “Why CPU Frequency Stalled: The Data.” IEEE Spectrum. doi:10.1109/ mspec.2008.4476447.
    Paper not yet in RePEc: Add citation now
  69. Särkkä S (2008). “Unscented Rauch-Tung-Striebel Smoother.” IEEE Transactions on Automated Control, 53, 845–849. doi:10.1109/tac.2008.919531.
    Paper not yet in RePEc: Add citation now
  70. Smith G, Schmidt S, McGee L (1962). “Application of Statistical Filter Theory to the Optimal Estimation of Position and Velocity On Board a Circumlunar Vehicle.” Technical report, National Aeronautics and Space Administration.
    Paper not yet in RePEc: Add citation now
  71. Song F, Tomov S, Dongarra J (2012). “Enabling and Scaling Matrix Computations on Heterogeneous Multi-Core and Multi-GPU Systems.” In Proceedings of the 26th ACM International Conference on Supercomputing, pp. 365–376. ACM, New York. doi: 10.1145/2304576.2304625.
    Paper not yet in RePEc: Add citation now
  72. Stan Development Team (2015). “Stan: A C++ Library for Probability and Sampling, Version 2.8.0.” URL http://mc-stan.org/.
    Paper not yet in RePEc: Add citation now
  73. Sutter H (2005). “The Free Lunch Is Over: A Fundamental Turn Toward Concurrency in Software.” Dr. Dobb’s Journal, 30. Online version updates CPU trend results to 2009, URL http://www.gotw.ca/publications/concurrency-ddj.htm.
    Paper not yet in RePEc: Add citation now
  74. The MathWorks, Inc (2013). MATLAB – The Language of Technical Computing, Version R2013b. The MathWorks, Inc., Natick, Massachusetts. URL http://www.mathworks. com/products/matlab/.
    Paper not yet in RePEc: Add citation now
  75. UniData (2013). “NetCDF.” Network Common Data Form, URL http://www.unidata. ucar.edu/software/netcdf/.
    Paper not yet in RePEc: Add citation now
  76. Vo BN, Ma WK (2006). “The Gaussian Mixture Probability Hypothesis Density Filter.” IEEE Transactions on Signal Processing, 54, 4091–4104. doi:10.1109/tsp.2006.881190.
    Paper not yet in RePEc: Add citation now
  77. Wardley A (2013). “The Perl Template Toolkit.” URL http://www.template-toolkit.org/.
    Paper not yet in RePEc: Add citation now
  78. Whiteley N, Lee A, Heine K (2013). “On the Role of Interaction in Sequential Monte Carlo Algorithms.” URL http://arxiv.org/abs/1309.2918.
    Paper not yet in RePEc: Add citation now
  79. Wikle C (2003). “Hierarchical Bayesian Models for Predicting the Spread of Ecological Processes.” Ecology, 84(6), 1382–1394. doi:10.1890/0012-9658(2003)084[1382: hbmfpt]2.0.co;2.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Zero-Inflated Regime-Switching Stochastic Differential Equation Models for Highly Unbalanced Multivariate, Multi-Subject Time-Series Data. (2019). Cole, Pamela M ; Ram, Nilam ; Chow, Sy-Miin ; Lu, Zhao-Hua.
    In: Psychometrika.
    RePEc:spr:psycho:v:84:y:2019:i:2:d:10.1007_s11336-019-09664-7.

    Full description at Econpapers || Download paper

  2. Bayesian inference of the fractional Ornstein–Uhlenbeck process under a flow sampling scheme. (2018). Tsionas, Mike ; Simos, Theodore.
    In: Computational Statistics.
    RePEc:spr:compst:v:33:y:2018:i:4:d:10.1007_s00180-018-0799-6.

    Full description at Econpapers || Download paper

  3. Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks. (2017). Targino, Rodrigo ; Peters, Gareth W ; Wuthrich, Mario V.
    In: Risks.
    RePEc:gam:jrisks:v:5:y:2017:i:4:p:53-:d:112832.

    Full description at Econpapers || Download paper

  4. Approximate maximum likelihood estimation using data-cloning ABC. (2017). Picchini, Umberto ; Anderson, Rachele .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:105:y:2017:i:c:p:166-183.

    Full description at Econpapers || Download paper

  5. A Bayesian hidden Markov mixture model to detect overexpressed chromosome regions. (2017). Mayrink, Vinicius Diniz ; Gonalves, Flavio Bambirra.
    In: Journal of the Royal Statistical Society Series C.
    RePEc:bla:jorssc:v:66:y:2017:i:2:p:387-412.

    Full description at Econpapers || Download paper

  6. Fitting Nonlinear Ordinary Differential Equation Models with Random Effects and Unknown Initial Conditions Using the Stochastic Approximation Expectation–Maximization (SAEM) Algorithm. (2016). Zhu, Hongtu ; Sherwood, Andrew ; Lu, Zhaohua ; Chow, Sy-Miin.
    In: Psychometrika.
    RePEc:spr:psycho:v:81:y:2016:i:1:p:102-134.

    Full description at Econpapers || Download paper

  7. Simulation of Tempered Stable Lévy Bridges and Its Applications. (2016). Kim, Kyoung-Kuk.
    In: Operations Research.
    RePEc:inm:oropre:v:64:y:2016:i:2:p:495-509.

    Full description at Econpapers || Download paper

  8. Modelling and predicting electricity consumption in Spain using the stochastic Gamma diffusion process with exogenous factors. (2016). Nafidi, A ; el Hachimi, S ; Ramos-Abalos, E ; Gutierrez-Sanchez, R.
    In: Energy.
    RePEc:eee:energy:v:113:y:2016:i:c:p:309-318.

    Full description at Econpapers || Download paper

  9. A Nonparametric Model for Stationary Time Series. (2016). Antoniano-Villalobos, Isadora ; Walker, Stephen G.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:37:y:2016:i:1:p:126-142.

    Full description at Econpapers || Download paper

  10. Simulation of multivariate diffusion bridges. (2016). Bladt, Mogens ; Sorensen, Michael ; Finch, Samuel .
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:78:y:2016:i:2:p:343-369.

    Full description at Econpapers || Download paper

  11. A first step to implement Gillespie’s algorithm with rejection sampling. (2015). Duan, Qihong ; Liu, Junrong.
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:24:y:2015:i:1:p:85-95.

    Full description at Econpapers || Download paper

  12. Bayesian State-Space Modelling on High-Performance Hardware Using LibBi. (2015). Murray, Lawrence M.
    In: Journal of Statistical Software.
    RePEc:jss:jstsof:v:067:i10.

    Full description at Econpapers || Download paper

  13. Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval. (2015). Sorensen, Michael ; Jakobsen, Nina Munkholt .
    In: CREATES Research Papers.
    RePEc:aah:create:2015-33.

    Full description at Econpapers || Download paper

  14. Importance sampling for Kolmogorov backward equations. (2014). Singer, Hermann.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:98:y:2014:i:4:p:345-369.

    Full description at Econpapers || Download paper

  15. The delta expansion for the transition density of diffusion models. (2014). Lee, Eun-Kyung ; Song, Seongjoo .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:178:y:2014:i:p3:p:694-705.

    Full description at Econpapers || Download paper

  16. Reversible jump MCMC for nonparametric drift estimation for diffusion processes. (2014). van der Meulen, Frank ; Schauer, Moritz ; van Zanten, Harry.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:71:y:2014:i:c:p:615-632.

    Full description at Econpapers || Download paper

  17. Inference for reaction networks using the linear noise approximation. (2014). Sherlock, Chris ; Giagos, Vasilieos ; Fearnhead, Paul.
    In: Biometrics.
    RePEc:bla:biomet:v:70:y:2014:i:2:p:457-466.

    Full description at Econpapers || Download paper

  18. Simulation of multivariate diffusion bridges. (2014). Finch, Samuel ; Bladt, Mogens ; Sorensen, Michael.
    In: CREATES Research Papers.
    RePEc:aah:create:2014-16.

    Full description at Econpapers || Download paper

  19. Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering. (2013). Sarkka, Simo ; Mbalawata, Isambi ; Haario, Heikki .
    In: Computational Statistics.
    RePEc:spr:compst:v:28:y:2013:i:3:p:1195-1223.

    Full description at Econpapers || Download paper

  20. Advanced MCMC methods for sampling on diffusion pathspace. (2013). Kalogeropoulos, Konstantinos ; Beskos, Alexandros ; Pazos, Erik .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:123:y:2013:i:4:p:1415-1453.

    Full description at Econpapers || Download paper

  21. Filtering for partially observed diffusion and its applications. (2013). Shoji, Isao.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:20:p:4966-4976.

    Full description at Econpapers || Download paper

  22. Parameter estimation for multivariate diffusion systems. (2013). Varughese, Melvin M..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:57:y:2013:i:1:p:417-428.

    Full description at Econpapers || Download paper

  23. Bayesian Computational Tools. (2013). Robert, Christian P..
    In: Working Papers.
    RePEc:crs:wpaper:2013-45.

    Full description at Econpapers || Download paper

  24. Markov Chain Monte Carlo for Exact Inference for Diffusions. (2013). Beskos, Alexandros ; Fearnhead, Paul ; Papaspiliopoulos, Omiros ; SERMAIDIS, GIORGOS ; Roberts, Gareth O..
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:40:y:2013:i:2:p:294-321.

    Full description at Econpapers || Download paper

  25. A Multiresolution Method for Parameter Estimation of Diffusion Processes. (2012). Olding, Benjamin P. ; Kou, S. C. ; Lysy, Martin ; Liu, Jun S..
    In: Journal of the American Statistical Association.
    RePEc:taf:jnlasa:v:107:y:2012:i:500:p:1558-1574.

    Full description at Econpapers || Download paper

  26. Variational Markov chain Monte Carlo for Bayesian smoothing of non-linear diffusions. (2012). Shen, Yuan ; Opper, Manfred ; Cornford, Dan ; Archambeau, Cedric .
    In: Computational Statistics.
    RePEc:spr:compst:v:27:y:2012:i:1:p:149-176.

    Full description at Econpapers || Download paper

  27. Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms. (2011). Singer, Hermann.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:95:y:2011:i:4:p:375-413.

    Full description at Econpapers || Download paper

  28. On the Approximate Maximum Likelihood Estimation for Diffusion Processes. (2011). Chang, Jinyuan ; Chen, Song Xi ; Song Xi Chen, .
    In: MPRA Paper.
    RePEc:pra:mprapa:46279.

    Full description at Econpapers || Download paper

  29. Stochastic Functional Data Analysis: A Diffusion Model-Based Approach. (2011). Zhu, Bin ; Peter X.-K. Song, ; Peter X.-K. Song, ; Jeremy M. G. Taylor, .
    In: Biometrics.
    RePEc:bla:biomet:v:67:y:2011:i:4:p:1295-1304.

    Full description at Econpapers || Download paper

  30. Contrast-based information criterion for ergodic diffusion processes from discrete observations. (2010). Uchida, Masayuki.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:62:y:2010:i:1:p:161-187.

    Full description at Econpapers || Download paper

  31. Inference for stochastic volatility models using time change transformations. (2010). Kalogeropoulos, Konstantinos ; Dellaportas, Petros ; Roberts, Gareth O..
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:31421.

    Full description at Econpapers || Download paper

  32. Stochastic Differential Mixed-Effects Models. (2010). DE GAETANO, ANDREA ; Picchini, Umberto ; Ditlevsen, Susanne .
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:37:y:2010:i:1:p:67-90.

    Full description at Econpapers || Download paper

  33. Geostatistical inference under preferential sampling. (2010). Diggle, Peter J. ; Su, Ting-li ; Menezes, Raquel.
    In: Journal of the Royal Statistical Society Series C.
    RePEc:bla:jorssc:v:59:y:2010:i:2:p:191-232.

    Full description at Econpapers || Download paper

  34. Random-weight particle filtering of continuous time processes. (2010). Papaspiliopoulos, Omiros ; Stuart, Andrew ; Fearnhead, Paul ; Roberts, Gareth O..
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:72:y:2010:i:4:p:497-512.

    Full description at Econpapers || Download paper

  35. Nonparametric adaptive estimation for integrated diffusions. (2009). Comte, F. ; Rozenholc, Y. ; Genon-Catalot, V..
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:119:y:2009:i:3:p:811-834.

    Full description at Econpapers || Download paper

  36. Laplace approximation of transition densities posed as Brownian expectations. (2009). Markussen, BO.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:119:y:2009:i:1:p:208-231.

    Full description at Econpapers || Download paper

  37. A Bayesian regression model for multivariate functional data. (2009). Rosen, Ori ; Thompson, Wesley K..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:11:p:3773-3786.

    Full description at Econpapers || Download paper

  38. Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations. (2009). Chopin, Nicolas ; HÅVARD RUE, ; Martino, Sara .
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:71:y:2009:i:2:p:319-392.

    Full description at Econpapers || Download paper

  39. Parameter estimation for partially observed hypoelliptic diffusions. (2009). Stuart, Andrew M. ; Pokern, Yvo ; Wiberg, Petter .
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:71:y:2009:i:1:p:49-73.

    Full description at Econpapers || Download paper

  40. Hierarchical Models in the Brain. (2008). Friston, Karl.
    In: PLOS Computational Biology.
    RePEc:plo:pcbi00:1000211.

    Full description at Econpapers || Download paper

  41. Simulation of jump diffusions and the pricing of options. (2008). McLeish, Don ; DiCesare, Joe.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:43:y:2008:i:3:p:316-326.

    Full description at Econpapers || Download paper

  42. Bayesian inference for nonlinear multivariate diffusion models observed with error. (2008). Golightly, A. ; Wilkinson, D. J..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:52:y:2008:i:3:p:1674-1693.

    Full description at Econpapers || Download paper

  43. The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes. (2008). Sørensen, Michael ; FORMAN, JULIE LYNG ; SRENSEN, MICHAEL.
    In: Scandinavian Journal of Statistics.
    RePEc:bla:scjsta:v:35:y:2008:i:3:p:438-465.

    Full description at Econpapers || Download paper

  44. Particle filters for partially observed diffusions. (2008). Papaspiliopoulos, Omiros ; Roberts, Gareth O. ; Fearnhead, Paul.
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:70:y:2008:i:4:p:755-777.

    Full description at Econpapers || Download paper

  45. Parametric inference for discretely sampled stochastic differential equations. (2008). Sørensen, Michael ; Sorensen, Michael.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-18.

    Full description at Econpapers || Download paper

  46. Likelihood-based inference for a class of multivariate diffusions with unobserved paths. (2007). Kalogeropoulos, Konstantinos.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:31423.

    Full description at Econpapers || Download paper

  47. Indirect robust estimation of the short-term interest rate process. (2007). Karolyi, G. ; Ronchetti, Elvezio ; Czellar, Veronika .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:4:p:546-563.

    Full description at Econpapers || Download paper

  48. Parameter estimation for differential equations: a generalized smoothing approach. (2007). Campbell, D. ; Ramsay, J. O. ; Cao, J. ; Hooker, G..
    In: Journal of the Royal Statistical Society Series B.
    RePEc:bla:jorssb:v:69:y:2007:i:5:p:741-796.

    Full description at Econpapers || Download paper

  49. Likelihood-based inference for correlated diffusions. (2007). Kalogeropoulos, Konstantinos ; Dellaportas, Petros ; Roberts, Gareth O..
    In: Papers.
    RePEc:arx:papers:0711.1595.

    Full description at Econpapers || Download paper

  50. Inference for stochastic volatility models using time change transformations. (2007). Kalogeropoulos, Konstantinos ; Dellaportas, Petros ; Roberts, Gareth O..
    In: Papers.
    RePEc:arx:papers:0711.1594.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-19 20:07:33 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.