57 citations · 223 across the 23 of their papers we have counts for
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stat.CO2017★ 21 cited
Continuous-discrete smoothing of diffusions
Marcin Mider, Moritz Schauer, Frank van der Meulen
Suppose X is a multivariate diffusion process that is observed discretely in time. At each observation time, a transformation of the state of the process is observed with noise. Th…
stat.CO2017★ 4 cited
On residual and guided proposals for diffusion bridge simulation
Frank van der Meulen, Moritz Schauer
Recently Whitaker et al. (2017) considered Bayesian estimation of diffusion driven mixed effects models using data-augmentation. The missing data, diffusion bridges connecting disc…