Broadly Applicable Approximate MCMC for Switching Stochastic Differential Equations Using Uniformization and Time-Conditioned Factorized Neural Likelihood Estimation
This paper proposes a broadly applicable approximate Markov chain Monte Carlo sampler for switching stochastic differential equations that combines uniformization with time-conditioned factorized neural likelihood estimation to overcome the limitations of existing methods by enabling Bayesian inference without requiring analytically tractable transition densities.