A guided-proposal framework for filtering, smoothing, and parameter estimation for infinite-dimensional diffusions, with closed-form guiding scores and a proof-of-concept on the stochastic Amari equation.
Mcmc methods for diffu- sion bridges.Stochastics and Dynamics, 08(03):319–350, 2008
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Guided filtering and smoothing for infinite-dimensional diffusions
A guided-proposal framework for filtering, smoothing, and parameter estimation for infinite-dimensional diffusions, with closed-form guiding scores and a proof-of-concept on the stochastic Amari equation.