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Inference for a class of partially observed point process models

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  • James Martin
  • Ajay Jasra
  • Emma McCoy

Abstract

This paper presents a simulation-based framework for sequential inference from partially and discretely observed point process models with static parameters. Taking on a Bayesian perspective for the static parameters, we build upon sequential Monte Carlo methods, investigating the problems of performing sequential filtering and smoothing in complex examples, where current methods often fail. We consider various approaches for approximating posterior distributions using SMC. Our approaches, with some theoretical discussion are illustrated on a doubly stochastic point process applied in the context of finance. Copyright The Institute of Statistical Mathematics, Tokyo 2013

Suggested Citation

  • James Martin & Ajay Jasra & Emma McCoy, 2013. "Inference for a class of partially observed point process models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(3), pages 413-437, June.
    • Handle: RePEc:spr:aistmt:v:65:y:2013:i:3:p:413-437
    DOI: 10.1007/s10463-012-0375-8
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    References listed on IDEAS

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    1. Pierre Del Moral & Arnaud Doucet & Ajay Jasra, 2006. "Sequential Monte Carlo samplers," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(3), pages 411-436, June.
    2. Nicolas Chopin, 2002. "A sequential particle filter method for static models," Biometrika, Biometrika Trust, vol. 89(3), pages 539-552, August.
    3. Gareth O. Roberts & Omiros Papaspiliopoulos & Petros Dellaportas, 2004. "Bayesian inference for non‐Gaussian Ornstein–Uhlenbeck stochastic volatility processes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(2), pages 369-393, May.
    4. Centanni, Silvia & Minozzo, Marco, 2006. "A Monte Carlo Approach to Filtering for a Class of Marked Doubly Stochastic Poisson Processes," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1582-1597, December.
    5. Michael K Pitt & Neil Shephard, "undated". "Filtering via simulation: auxiliary particle filters," Economics Papers 1997-W13, Economics Group, Nuffield College, University of Oxford.
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    Cited by:

    1. Axel Finke & Adam Johansen & Dario Spanò, 2014. "Static-parameter estimation in piecewise deterministic processes using particle Gibbs samplers," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(3), pages 577-609, June.
    2. Beskos, Alexandros & Jasra, Ajay & Law, Kody & Tempone, Raul & Zhou, Yan, 2017. "Multilevel sequential Monte Carlo samplers," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1417-1440.

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