Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models

Abstract

Abstract In this paper, we consider static parameter estimation for a class of continuous-time state-space models. Our goal is to obtain an unbiased estimate of the gradient of the log-likelihood (score function), which is an estimate that is unbiased even if the stochastic processes involved in the model must be discretized in time. To achieve this goal, we apply a doubly randomized scheme, that involves a novel coupled conditional particle filter (CCPF) on the second level of randomization. Our novel estimate helps facilitate the application of gradient-based estimation algorithms, such as stochastic-gradient Langevin descent. We illustrate our methodology in the context of stochastic gradient descent (SGD) in several numerical examples and compare with the Rhee–Glynn estimator.