Bayesian parameter inference for partially observed stopped processes

DOI10.1007/S11222-012-9348-2zbMath1325.62059arXiv1201.3767OpenAlexW2016553927MaRDI QIDQ892438

Ajay Jasra, Nikolas Kantas, Adam Persing

Publication date: 19 November 2015

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.3767

zbMATH Keywords

Markov chain Monte Carlosequential Monte Carlostopped processes

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (1)

Inference and rare event simulation for stopped Markov processes via reverse-time sequential Monte Carlo

Cites Work

• Unnamed Item
• Unnamed Item
• The pseudo-marginal approach for efficient Monte Carlo computations
• On particle methods for parameter estimation in state-space models
• Sampling per mode for rare event simulation in switching diffusions
• Quantitative non-geometric convergence bounds for independence samplers
• Sequential Monte Carlo for rare event estimation
• A nonasymptotic theorem for unnormalized Feynman-Kac particle models
• Splitting for rare event simulation: A large deviation approach to design and analysis
• Simulating probability distributions in the coalescent
• Coalescence time for two genes from a subdivided population
• Genealogical particle analysis of rare events
• Sequential Monte Carlo Methods in Practice
• Multilevel Splitting for Estimating Rare Event Probabilities
• Sequential Monte Carlo Samplers
• Adaptive Multilevel Splitting for Rare Event Analysis
• On large deviations theory and asymptotically efficient Monte Carlo estimation
• Inference in Molecular Population Genetics
• Importance sampling on coalescent histories. II: Subdivided population models
• Estimation in Discretely Observed Diffusions Killed at a Threshold
• Stopping-Time Resampling for Sequential Monte Carlo Methods
• Exact Monte Carlo simulation of killed diffusions
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• Monte Carlo strategies in scientific computing

This page was built for publication: Bayesian parameter inference for partially observed stopped processes