Journal
EURASIP JOURNAL ON ADVANCES IN SIGNAL PROCESSING
Volume -, Issue -, Pages -Publisher
SPRINGEROPEN
DOI: 10.1186/s13634-018-0530-3
Keywords
Stochastic differential equations; Smoothing; Sequential Monte Carlo Methods; Online estimation
Categories
Funding
- Paris-Saclay Center for Data Science
Ask authors/readers for more resources
This paper introduces a new algorithm to approximate smoothed additive functionals of partially observed diffusion processes. This method relies on a new sequential Monte Carlo method which allows to compute such approximations online, i.e., as the observations are received, and with a computational complexity growing linearly with the number of Monte Carlo samples. The original algorithm cannot be used in the case of partially observed stochastic differential equations since the transition density of the latent data is usually unknown. We prove that it may be extended to partially observed continuous processes by replacing this unknown quantity by an unbiased estimator obtained for instance using general Poisson estimators. This estimator is proved to be consistent and its performance are illustrated using data from two models.
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