281 citations · 865 across the 46 of their papers we have counts for
5 papers · 1 filter
Parameter Inference for Hypo-Elliptic Diffusions under a Weak Design Condition
Yuga Iguchi, Alexandros Beskos
We address the problem of parameter estimation for degenerate diffusion processes defined via the solution of Stochastic Differential Equations (SDEs) with diffusion matrix that is…
Parameter Inference for Degenerate Diffusion Processes
Yuga Iguchi, Alexandros Beskos, Matthew Graham
We study parametric inference for ergodic diffusion processes with a degenerate diffusion matrix. Existing research focuses on a particular class of hypo-elliptic SDEs, with compon…
Asymptotic Analysis of Model Selection Criteria for General Hidden Markov Models
Shouto Yonekura, Alexandros Beskos, Sumeetpal S. Singh
The paper obtains analytical results for the asymptotic properties of Model Selection Criteria -- widely used in practice -- for a general family of hidden Markov models (HMMs), th…
On Concentration Properties of Partially Observed Chaotic Systems
Daniel Paulin, Ajay Jasra, Dan Crisan +1
This article presents results on the concentration properties of the smoothing and filtering distributions of some partially observed chaotic dynamical systems. We show that, rathe…
Monte Carlo maximum likelihood estimation for discretely observed diffusion processes
Alexandros Beskos, Omiros Papaspiliopoulos, Gareth Roberts
This paper introduces a Monte Carlo method for maximum likelihood inference in the context of discretely observed diffusion processes. The method gives unbiased and a.s.\@ continuo…