Corpus ID: 88522926

On residual and guided proposals for diffusion bridge simulation

@article{Meulen2017OnRA,
  title={On residual and guided proposals for diffusion bridge simulation},
  author={F. V. Meulen and Moritz Schauer},
  journal={arXiv: Computation},
  year={2017}
}

• F. V. Meulen, Moritz Schauer
• Published 2017
• Mathematics
• arXiv: Computation

Recently Whitaker et al. (2017) considered Bayesian estimation of diffusion driven mixed effects models using data-augmentation. The missing data, diffusion bridges connecting discrete time observations, are drawn using a "residual bridge construct". In this paper we compare this construct (which we call residual proposal) with the guided proposals introduced in Schauer et al. 2017. It is shown that both approaches are related, but use a different approximation to the intractable stochastic… Expand

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