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Online parameter estimation for partially observed diffusions

Abstract:
This paper proposes novel particle methods for online parameter estimation for partially observed diffusions. We consider diffusions observed with error under a non-linear mapping and multivariate diffusions where only a subset of the components is observed. The proposed methods rely on the commonly used idea of data augmentation and are based on obtaining particle approximations to the derivatives of the optimal filter. The performance of our algorithms is assessed using several financial applications. © 2006 IEEE.

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Publisher copy:
10.1109/NSSPW.2006.4378853

Authors


Poyiadjis, G More by this author
Publication date:
2006
DOI:
URN:
uuid:daf886a0-6ca1-4eaf-9a42-a7117b1fe489
Source identifiers:
172756
Local pid:
pubs:172756
ISBN-10:
1424405815
ISBN-13:
9781424405817

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