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math.PR2023
On Time Uniform Wong-Zakai Approximation Theorems
Pierre Del Moral, Shulan Hu, Ajay Jasra +2
We consider the long time behavior of Wong-Zakai approximations of stochastic differential equations. These piecewise smooth diffusion approximations are of great importance in man…
stat.CO2023★ 1 cited
Bayesian Parameter Inference for Partially Observed Diffusions using Multilevel Stochastic Runge-Kutta Methods
Pierre Del Moral, Shulan Hu, Ajay Jasra +2
We consider the problem of Bayesian estimation of static parameters associated to a partially and discretely observed diffusion process. We assume that the exact transition dynamic…
math.ST2023
Maximum Entropy Estimator for Hidden Markov Models: Reduction to Dimension 2
Shulan Hu, Xinyu Wang, Liming Wu
In the paper, we introduce the maximum entropy estimator based on 2-dimensional empirical distribution of the observation sequence of hidden Markov model , when the sample size is…