Sequential Monte Carlo with Highly Informative Observations

DOI10.1137/15M1011214zbMath1327.65004arXiv1405.4081OpenAlexW2124333705MaRDI QIDQ3452532

Lawrence M. Murray, Pierre Del Moral

Publication date: 12 November 2015

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.4081

zbMATH Keywords

stochastic differential equationBrownian bridgeBayesian statisticsstate-space modelcontinuous timeparticle filterapproximate Bayesian computationdiffusion bridgepinned diffusion

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic particle methods (65C35)

Related Items (9)

Correlated pseudo-marginal schemes for time-discretised stochastic kinetic models ⋮ Some contributions to sequential Monte Carlo methods for option pricing ⋮ A coherent structure approach for parameter estimation in Lagrangian data assimilation ⋮ Improved bridge constructs for stochastic differential equations ⋮ Smoothing With Couplings of Conditional Particle Filters ⋮ Bagged Filters for Partially Observed Interacting Systems ⋮ Alive SMC²: Bayesian model selection for low‐count time series models with intractable likelihoods ⋮ Inference on high-dimensional implicit dynamic models using a guided intermediate resampling filter ⋮ Bayesian inference for Markov jump processes with informative observations

Uses Software

• LibBi
• Bridge.jl

Cites Work

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