A piecewise deterministic Monte Carlo method for diffusion bridges
Journal article, 2021
Faber–Schauder basis
Intractable target density
Piecewise deterministic Monte Carlo
Diffusion bridge
Diffusion process
Local Zig-Zag sampler
High-dimensional simulation
Conditional diffusion
Author
Joris Bierkens
Delft University of Technology
Sebastiano Grazzi
Delft University of Technology
Frank Van Der Meulen
Delft University of Technology
Moritz Schauer
University of Gothenburg
Chalmers, Mathematical Sciences, Applied Mathematics and Statistics
Statistics and Computing
0960-3174 (ISSN) 1573-1375 (eISSN)
Vol. 31 3 37Subject Categories
Computational Mathematics
Probability Theory and Statistics
Signal Processing
DOI
10.1007/s11222-021-10008-8