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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.PR2023
Talagrand's transportation inequality for SPDEs with locally monotone drifts
Ruinan Li, Xinyu Wang
The purpose of this paper is twofold. Firstly, we prove transportation inequalities on the space of continuous paths with respect to the uniform metric for the law o…
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…