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A particle implementation of the recursive MLE for partially observed diffusions

Arnaud Guyader 1 François Le Gland 2 Nadia Oudjane 3
1 MASS - Département Mathématiques appliquées et sciences sociales - Rennes 2
2 SIGMA2 - Signal, models, algorithms
IRISA - Institut de Recherche en Informatique et Systèmes Aléatoires, INRIA Rennes
3 EDF - EDF
Abstract : In this paper, the problem of identifying a hidden Markov model (HMM) with general state space, e.g. a partially observed diffusion process, is considered. A particle implementation of the recursive maximum likelihood estimator for a parameter in the transition kernel of the Markov chain is presented. The key assumption is that the derivative of the transition kernel w.r.t. the parameter has a probabilistic interpretation, suitable for Monte Carlo simulation. Examples are given to show that this assumption is satisfied in quite general situations. As a result, the linear tangent filter, i.e. the derivative of the filter w.r.t. the parameter, is absolutely continuous w.r.t. the filter and the idea is to jointly approximate the (prediction) filter and its derivative with the empirical probability distribution and with a weighted empirical distribution associated with the same and unique particle system. Application to the identification of a stochastic volatility model is presented.
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Conference papers
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https://hal.inria.fr/hal-00912051
Contributor : Francois Le Gland <>
Submitted on : Thursday, December 19, 2013 - 5:42:20 PM
Last modification on : Tuesday, June 15, 2021 - 4:21:54 PM

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  • HAL Id : hal-00912051, version 1

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Citation

Arnaud Guyader, François Le Gland, Nadia Oudjane. A particle implementation of the recursive MLE for partially observed diffusions. Proceedings of the 13th Symposium on System Identification (SYSID), Rotterdam, IFAC, IFORS, Aug 2003, Rotterdam, Netherlands. pp.1305--1310. ⟨hal-00912051⟩

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