Stochastic Gradient MCMC for State Space Models

DOI10.1137/18M1214780zbMath1499.60251arXiv1810.09098OpenAlexW2975265941MaRDI QIDQ5025790

Nicholas J. Foti, Emily B. Fox, Yi-An Ma, Christopher Aicher

Publication date: 3 February 2022

Published in: SIAM Journal on Mathematics of Data Science (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.09098

zbMATH Keywords

exponential forgettingtime seriesMarkov chain Monte Carlohidden Markov modelsstate space modelsBayesian inferencestochastic gradient

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Discrete-time Markov processes on general state spaces (60J05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (5)

Variational Bayesian analysis of nonhomogeneous hidden Markov models with long and ultralong sequences ⋮ Divide-and-conquer Bayesian inference in hidden Markov models ⋮ Multi-index antithetic stochastic gradient algorithm ⋮ Stochastic Gradient Markov Chain Monte Carlo ⋮ Variational inference with vine copulas: an efficient approach for Bayesian computer model calibration

Uses Software

• BayesDA
• PRMLT

Cites Work

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