Ensemble MCMC: accelerating pseudo-marginal MCMC for state space models using the ensemble Kalman filter (Q6121617): Difference between revisions

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scientific article; zbMATH DE number 7809848

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English	Ensemble MCMC: accelerating pseudo-marginal MCMC for state space models using the ensemble Kalman filter	scientific article; zbMATH DE number 7809848

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instance of

scholarly article

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title

Ensemble MCMC: accelerating pseudo-marginal MCMC for state space models using the ensemble Kalman filter (English)

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author

Christopher C. Drovandi

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27 February 2024

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full work available at URL

https://arxiv.org/abs/1906.02014

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https://projecteuclid.org/journals/bayesian-analysis/volume-17/issue-1/Ensemble-MCMC-Accelerating-Pseudo-Marginal-MCMC-for-State-Space/10.1214/20-BA1251.full

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zbMATH Keywords

data assimilation

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ensemble Kalman filter

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particle filter

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particle MCMC

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pseudo-marginal MCMC

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state space models

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MaRDI profile type

MaRDI publication profile

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cites work

Importance sampling: intrinsic dimension and computational cost

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Particle Markov Chain Monte Carlo for Efficient Numerical Simulation

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The pseudo-marginal approach for efficient Monte Carlo computations

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Data Assimilation

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On the stability of sequential Monte Carlo methods in high dimensions

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SMC2: An Efficient Algorithm for Sequential Analysis of State Space Models

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Q4819702

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The Correlated Pseudo-Marginal Method

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Q3015761

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Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator

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Improving the efficiency of fully Bayesian optimal design of experiments using randomised quasi-Monte Carlo

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Data Assimilation

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The ensemble Kalman filter for combined state and parameter estimation

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A comparison of inferential methods for highly nonlinear state space models in ecology and epidemiology

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Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance

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Sequential Quasi Monte Carlo

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Unbiased Estimation of Some Multivariate Probability Densities and Related Functions

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Delayed acceptance particle MCMC for exact inference in stochastic kinetic models

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Bayesian Inference for Stochastic Kinetic Models Using a Diffusion Approximation

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Bayesian inference for Markov jump processes with informative observations

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Understanding the Ensemble Kalman Filter

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Ensemble Kalman Methods for High-Dimensional Hierarchical Dynamic Space-Time Models

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Data Assimilation

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Q2753033

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Deterministic Nonperiodic Flow

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On some properties of Markov chain Monte Carlo simulation methods based on the particle filter

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A rare event approach to high-dimensional approximate Bayesian computation

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Bayesian Synthetic Likelihood

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Q2849820

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On the efficiency of pseudo-marginal random walk Metropolis algorithms

0 references

Handbook of Approximate Bayesian Computation

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An Ensemble Kalman Filter and Smoother for Satellite Data Assimilation

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Nonlinear data assimilation

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Multivariate output analysis for Markov chain Monte Carlo

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Estimating parameters in stochastic systems: A variational Bayesian approach

0 references

Q5290928

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Identifiers

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6121617

@@ Property / cites work @@
+Importance sampling: intrinsic dimension and computational cost
+Normal rank
@@ Property / cites work @@
+Particle Markov Chain Monte Carlo for Efficient Numerical Simulation
+Normal rank
@@ Property / cites work @@
+The pseudo-marginal approach for efficient Monte Carlo computations
+Normal rank
@@ Property / cites work @@
+Data Assimilation
@@ Property / cites work: Data Assimilation / rank @@
+Normal rank
@@ Property / cites work @@
+On the stability of sequential Monte Carlo methods in high dimensions
+Normal rank
@@ Property / cites work @@
+SMC2: An Efficient Algorithm for Sequential Analysis of State Space Models
+Normal rank
@@ Property / cites work @@
+Q4819702
@@ Property / cites work: Q4819702 / rank @@
+Normal rank
@@ Property / cites work @@
+The Correlated Pseudo-Marginal Method
@@ Property / cites work: The Correlated Pseudo-Marginal Method / rank @@
+Normal rank
@@ Property / cites work @@
+Q3015761
@@ Property / cites work: Q3015761 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
+Normal rank
@@ Property / cites work @@
+Improving the efficiency of fully Bayesian optimal design of experiments using randomised quasi-Monte Carlo
+Normal rank
@@ Property / cites work @@
+Data Assimilation
@@ Property / cites work: Data Assimilation / rank @@
+Normal rank
@@ Property / cites work @@
+The ensemble Kalman filter for combined state and parameter estimation
+Normal rank
@@ Property / cites work @@
+A comparison of inferential methods for highly nonlinear state space models in ecology and epidemiology
+Normal rank
@@ Property / cites work @@
+Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance
+Normal rank
@@ Property / cites work @@
+Sequential Quasi Monte Carlo
@@ Property / cites work: Sequential Quasi Monte Carlo / rank @@
+Normal rank
@@ Property / cites work @@
+Unbiased Estimation of Some Multivariate Probability Densities and Related Functions
+Normal rank
@@ Property / cites work @@
+Delayed acceptance particle MCMC for exact inference in stochastic kinetic models
+Normal rank
@@ Property / cites work @@
+Bayesian Inference for Stochastic Kinetic Models Using a Diffusion Approximation
+Normal rank
@@ Property / cites work @@
+Bayesian inference for Markov jump processes with informative observations
+Normal rank
@@ Property / cites work @@
+Understanding the Ensemble Kalman Filter
@@ Property / cites work: Understanding the Ensemble Kalman Filter / rank @@
+Normal rank
@@ Property / cites work @@
+Ensemble Kalman Methods for High-Dimensional Hierarchical Dynamic Space-Time Models
+Normal rank
@@ Property / cites work @@
+Data Assimilation
@@ Property / cites work: Data Assimilation / rank @@
+Normal rank
@@ Property / cites work @@
+Q2753033
@@ Property / cites work: Q2753033 / rank @@
+Normal rank
@@ Property / cites work @@
+Deterministic Nonperiodic Flow
@@ Property / cites work: Deterministic Nonperiodic Flow / rank @@
+Normal rank
@@ Property / cites work @@
+On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
+Normal rank
@@ Property / cites work @@
+A rare event approach to high-dimensional approximate Bayesian computation
+Normal rank
@@ Property / cites work @@
+Bayesian Synthetic Likelihood
@@ Property / cites work: Bayesian Synthetic Likelihood / rank @@
+Normal rank
@@ Property / cites work @@
+Q2849820
@@ Property / cites work: Q2849820 / rank @@
+Normal rank
@@ Property / cites work @@
+On the efficiency of pseudo-marginal random walk Metropolis algorithms
+Normal rank
@@ Property / cites work @@
+Handbook of Approximate Bayesian Computation
@@ Property / cites work: Handbook of Approximate Bayesian Computation / rank @@
+Normal rank
@@ Property / cites work @@
+An Ensemble Kalman Filter and Smoother for Satellite Data Assimilation
+Normal rank
@@ Property / cites work @@
+Nonlinear data assimilation
@@ Property / cites work: Nonlinear data assimilation / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate output analysis for Markov chain Monte Carlo
+Normal rank
@@ Property / cites work @@
+Estimating parameters in stochastic systems: A variational Bayesian approach
+Normal rank
@@ Property / cites work @@
+Q5290928
@@ Property / cites work: Q5290928 / rank @@
+Normal rank