Abstract
In this paper the variational Bayesian approximation for partially observed continuous time stochastic processes is studied. We derive an EM-like algorithm and describe its implementation. The variational Expectation step is explicitly solved using the method of conditional moment generating functions and stochastic partial differential equations. The numerical experiments demonstrate that the variational Bayesian estimate is more robust than the EM algorithm.
Original language | English |
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Title of host publication | INTERNATIONAL WORKSHOP ON STATISTICAL-MECHANICAL INFORMATICS 2008 (IW-SMI 2008) |
Editors | M Hayashi, JI Inoue, Y Kabashima, K Tanaka |
Place of Publication | BRISTOL |
Publisher | IOP Publishing |
Pages | 12022-12022 |
Number of pages | 11 |
ISBN (Print) | ***************** |
Publication status | Published - 2009 |
Event | International Workshop on Statistical-Mechanical Informatics - Sendai Duration: 14 Sept 2008 → 17 Sept 2008 |
Conference
Conference | International Workshop on Statistical-Mechanical Informatics |
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City | Sendai |
Period | 14/09/08 → 17/09/08 |
Keywords
- LIKELIHOOD PARAMETER-ESTIMATION
- EM ALGORITHM
- CONTROL LAWS