A new martingale posterior algorithm using diffusion bridges approximates the unbiased posterior for discretely observed diffusions up to O(Δ) bias and achieves orders-of-magnitude speedups over MCMC on examples.
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Martingale Posteriors for Discretely Observed Diffusions
A new martingale posterior algorithm using diffusion bridges approximates the unbiased posterior for discretely observed diffusions up to O(Δ) bias and achieves orders-of-magnitude speedups over MCMC on examples.