Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
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DOI: 10.1007/s00180-012-0352-y
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- Zhao-Hua Lu & Sy-Miin Chow & Nilam Ram & Pamela M. Cole, 2019. "Zero-Inflated Regime-Switching Stochastic Differential Equation Models for Highly Unbalanced Multivariate, Multi-Subject Time-Series Data," Psychometrika, Springer;The Psychometric Society, vol. 84(2), pages 611-645, June.
- Raillon, L. & Ghiaus, C., 2018. "An efficient Bayesian experimental calibration of dynamic thermal models," Energy, Elsevier, vol. 152(C), pages 818-833.
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- Ndanguza, Denis & Mbalawata, Isambi S. & Haario, Heikki & Tchuenche, Jean M., 2017. "Analysis of bias in an Ebola epidemic model by extended Kalman filter approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 142(C), pages 113-129.
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Keywords
Hamiltonian Monte Carlo; Stochastic differential equation; Parameter estimation; Markov chain Monte Carlo ; Kalman filter; Matrix fraction decomposition;All these keywords.
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