Computational Statistics

, Volume 28, Issue 3, pp 1195–1223 | Cite as

Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering

  • Isambi S. Mbalawata
  • Simo Särkkä
  • Heikki Haario
Original Paper

Abstract

This paper is concerned with parameter estimation in linear and non-linear Itô type stochastic differential equations using Markov chain Monte Carlo (MCMC) methods. The MCMC methods studied in this paper are the Metropolis–Hastings and Hamiltonian Monte Carlo (HMC) algorithms. In these kind of models, the computation of the energy function gradient needed by HMC and gradient based optimization methods is non-trivial, and here we show how the gradient can be computed with a linear or non-linear Kalman filter-like recursion. We shall also show how in the linear case the differential equations in the gradient recursion equations can be solved using the matrix fraction decomposition. Numerical results for simulated examples are presented and discussed in detail.

Keywords

Hamiltonian Monte Carlo Stochastic differential equation  Parameter estimation Markov chain Monte Carlo  Kalman filter  Matrix fraction decomposition 

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Copyright information

© Springer-Verlag 2012

Authors and Affiliations

  • Isambi S. Mbalawata
    • 1
  • Simo Särkkä
    • 2
  • Heikki Haario
    • 1
  1. 1.Department of Mathematics and PhysicsLappeenranta University of TechnologyLappeenrantaFinland
  2. 2.Department of Biomedical Engineering and Computational ScienceAalto UniversityAaltoFinland

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