Simulation of hypo-elliptic conditioned diffusions - VVSOR - VVSOR

Vereniging voor Statistiek en Operations Research
02 November 2018

Simulation of hypo-elliptic conditioned diffusions

We cordially invite you to the first Bayes club meeting of this semester, taking place on the 2nd November (Friday) between 4 pm and 5 pm in Leiden (room 403, Mathematical Institute).

Speaker: Frank van der Meulen (TU Delft)
Title: Simulation of hypo-elliptic conditioned diffusions
Time: 16:00-17:00, 2nd of November, 2018
Location: room 403, Snellius building, Niels Bohrweg 1

Abstract:
Consider a diffusion that is constructed as a strong solution to a stochastic differential equation (SDE).  Parameter estimation of discrete time data is hard, due to intractability of the likelihood. To deal with this problem, a popular approach is to use a data-augmentation method, where the latent path is imputed. This imputation boils down to simulation of conditioned diffusions. Over the past decade this area of research has received quite some attention. Virtually all of the proposed methods assume that each component of the SDE is driven by its own Brownian motion. Unfortunately, if this is not the case, they break down.  I will discuss how this problem can be circumvented for a wide class of SDE-models.

This talk is based on recent work with Joris Bierkens (Delft) and Moritz Schauer (Leiden)