Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
Year of publication: |
2013
|
---|---|
Authors: | Mbalawata, Isambi ; Särkkä, Simo ; Haario, Heikki |
Published in: |
Computational Statistics. - Springer. - Vol. 28.2013, 3, p. 1195-1223
|
Publisher: |
Springer |
Subject: | Hamiltonian Monte Carlo | Stochastic differential equation | Parameter estimation | Markov chain Monte Carlo | Kalman filter | Matrix fraction decomposition |
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