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|a Content: The likelihood function of a continuous-discrete state space model with state dependent di_usion function is computed by integrating out the latent variables with the help of a Langevin sampler. The continuous time paths are discretized on a time grid in order to obtain a _nite dimensional integration. We use importance sampling where the importance density is the conditional density of the latent states given the measurements. We compare the Monte Carlo results with numerical methods based on the solution of the Fokker-Planck equation between measurements. We use the repeated multiplication of transition matrices based on a) Euler transition kernels, b) _nite di_erences and c) discretized integral operators. The methods are illustrated for one and two-dimensional Ornstein-Uhlenbeck processes, where analytical results are known.
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Content: The likelihood function of a continuous-discrete state space model with state dependent di_usion function is computed by integrating out the latent variables with the help of a Langevin sampler. The continuous time paths are discretized on a time grid in order to obtain a _nite dimensional integration. We use importance sampling where the importance density is the conditional density of the latent states given the measurements. We compare the Monte Carlo results with numerical methods based on the solution of the Fokker-Planck equation between measurements. We use the repeated multiplication of transition matrices based on a) Euler transition kernels, b) _nite di_erences and c) discretized integral operators. The methods are illustrated for one and two-dimensional Ornstein-Uhlenbeck processes, where analytical results are known. |
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Hagen, FernUniversität, Fakultät für Wirtschaftswissenschaft, December 2016 |
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Hagen: FernUniversität, Fakultät für Wirtschaftswissenschaft, December 2016 |
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FernUniversität in Hagen, Fakultät für Wirtschaftswissenschaft, Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen, No. 502 |
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Diskussionsbeiträge der Fakultät für Wirtschaftswissenschaft der FernUniversität in Hagen ; No. 502 |
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0 |
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Scherm, Ewald VerfasserIn aut, Measuring the Domain-Specificity of Creativity Christian Julmi and Ewald Scherm, Hagen FernUniversität, Fakultät für Wirtschaftswissenschaft December 2016, 1 Online-Ressource (19 pages), Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Diskussionsbeiträge der Fakultät für Wirtschaftswissenschaft der FernUniversität in Hagen No. 502, Includes bibliography, Content: The likelihood function of a continuous-discrete state space model with state dependent di_usion function is computed by integrating out the latent variables with the help of a Langevin sampler. The continuous time paths are discretized on a time grid in order to obtain a _nite dimensional integration. We use importance sampling where the importance density is the conditional density of the latent states given the measurements. We compare the Monte Carlo results with numerical methods based on the solution of the Fokker-Planck equation between measurements. We use the repeated multiplication of transition matrices based on a) Euler transition kernels, b) _nite di_erences and c) discretized integral operators. The methods are illustrated for one and two-dimensional Ornstein-Uhlenbeck processes, where analytical results are known., Julmi, Christian VerfasserIn aut, Erscheint auch als Druck-Ausgabe Julmi, Christian and Scherm, Ewald Measuring the Domain-Specificity of Creativity Hagen : FernUniversität, Fakultät für Wirtschaftswissenschaft, FernUniversität in Hagen Fakultät für Wirtschaftswissenschaft Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen No. 502 502 (DE-627)834606461 (DE-576)445150173 (DE-600)2833658-6, http://nbn-resolving.de/urn:nbn:de:hbz:708-dh4040 Resolving-System kostenfrei Volltext, https://www.fernuni-hagen.de/imperia/md/images/fakultaetwirtschaftswissenschaft/db-502.pdf Verlag kostenfrei Volltext, https://www.fernuni-hagen.de/imperia/md/images/fakultaetwirtschaftswissenschaft/db-502.pdf LFER, LFER 2019-05-07T00:00:00Z |
| spellingShingle |
Scherm, Ewald, Julmi, Christian, Measuring the Domain-Specificity of Creativity, FernUniversität in Hagen, Fakultät für Wirtschaftswissenschaft, Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen, No. 502, Content: The likelihood function of a continuous-discrete state space model with state dependent di_usion function is computed by integrating out the latent variables with the help of a Langevin sampler. The continuous time paths are discretized on a time grid in order to obtain a _nite dimensional integration. We use importance sampling where the importance density is the conditional density of the latent states given the measurements. We compare the Monte Carlo results with numerical methods based on the solution of the Fokker-Planck equation between measurements. We use the repeated multiplication of transition matrices based on a) Euler transition kernels, b) _nite di_erences and c) discretized integral operators. The methods are illustrated for one and two-dimensional Ornstein-Uhlenbeck processes, where analytical results are known. |
| title |
Measuring the Domain-Specificity of Creativity |
| title_auth |
Measuring the Domain-Specificity of Creativity |
| title_full |
Measuring the Domain-Specificity of Creativity Christian Julmi and Ewald Scherm |
| title_fullStr |
Measuring the Domain-Specificity of Creativity Christian Julmi and Ewald Scherm |
| title_full_unstemmed |
Measuring the Domain-Specificity of Creativity Christian Julmi and Ewald Scherm |
| title_in_hierarchy |
No. 502. Measuring the Domain-Specificity of Creativity (December 2016) |
| title_short |
Measuring the Domain-Specificity of Creativity |
| title_sort |
measuring the domain specificity of creativity |
| title_unstemmed |
Measuring the Domain-Specificity of Creativity |
| url |
http://nbn-resolving.de/urn:nbn:de:hbz:708-dh4040, https://www.fernuni-hagen.de/imperia/md/images/fakultaetwirtschaftswissenschaft/db-502.pdf |
| urn |
urn:nbn:de:hbz:708-dh4040 |
