3 papers
stat.ME2025
Unbiased Parameter Estimation of Partially Observed Diffusions using Diffusion Bridges
Miguel Alvarez, Ajay Jasra
In this article we consider the estimation of static parameters for partially observed diffusion processes with discrete-time observations over a fixed time interval. In particular…
stat.CO2023
Unbiased and Multilevel Methods for a Class of Diffusions Partially Observed via Marked Point Processes
Miguel Alvarez, Ajay Jasra, Hamza Ruzayqat
In this article we consider the filtering problem associated to partially observed diffusions, with observations following a marked point process. In the model, the data form a poi…
stat.ME2022
Unbiased Estimation of the Vanilla and Deterministic Ensemble Kalman-Bucy Filters
Miguel Alvarez, Neil K. Chada, Ajay Jasra
In this article we consider the development of an unbiased estimator for the ensemble Kalman--Bucy filter (EnKBF). The EnKBF is a continuous-time filtering methodology which can be…