Abstract
In this talk I will discuss various techniques for constructing importance sampling estimators which approximate expectations (e.g the likelihood function, filtering densities, etc) when modelling with diffusion processes.
An Isaac Newton Institute WorkshopRecent Advances in Monte Carlo Based InferenceImportance sampling for diffusion processesAuthor: Omiros Papaspiliopoulos (Warwick University) AbstractIn this talk I will discuss various techniques for constructing importance sampling estimators which approximate expectations (e.g the likelihood function, filtering densities, etc) when modelling with diffusion processes. |