Bayesian Inference of Diffusions with Inaccessible Boundaries
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Neural Galerkin Normalizing Flows for Bayesian Inference of Diffusions with Inaccessible Boundaries
Announce Type: new Abstract: One of the primary challenges in Bayesian inference on the parameters of a diffusion model from discrete observations is the unavailability of an analytical expression for the transition density function between consecutive observation times, which is needed to derive the likelihood function. Extending previous studies that solve Fokker-Planck (FP) type partial differential equations with Normalizing Flows, we propose a new Normalizing Flow architecture to learn...