Journal
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
Volume 71, Issue -, Pages 49-73Publisher
WILEY
DOI: 10.1111/j.1467-9868.2008.00689.x
Keywords
Gibbs sampler; Hypoelliptic diffusion; Numerical methods; Parameter estimation; Partial observation
Categories
Funding
- Engineering and Physical Sciences Research Council [EP/D00375X/1] Funding Source: researchfish
Ask authors/readers for more resources
Hypoelliptic diffusion processes can be used to model a variety of phenomena in applications ranging from molecular dynamics to audio signal analysis. We study parameter estimation for such processes in situations where we observe some components of the solution at discrete times. Since exact likelihoods for the transition densities are typically not known, approximations are used that are expected to work well in the limit of small intersample times Delta t and large total observation times N Delta t. Hypoellipticity together with partial observation leads to ill conditioning requiring a judicious combination of approximate likelihoods for the various parameters to be estimated. We combine these in a deterministic scan Gibbs sampler alternating between missing data in the unobserved solution components, and parameters. Numerical experiments illustrate asymptotic consistency of the method when applied to simulated data. The paper concludes with an application of the Gibbs sampler to molecular dynamics data.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available