Limit theorems for sequential MCMC methods

DOI10.1017/APR.2020.9MaRDI QIDQ5005017zbMATH OpenOpenAlexFDO

Authors Axel Finke, Arnaud Doucet, Adam M. Johansen

Publication date 4 August 2021

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1807.01057, http://wrap.warwick.ac.uk/132001/1/WRAP-Limit-theorems-sequential-MCMC-Johansen-2020.pdf

zbMATH Keywords

almost sure convergenceMarkov chain Monte Carlo methodsmultivariate central limit theoremparticle filterssequential Monte Carlo methodstime-uniform convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) (L^p)-limit theorems (60F25) Signal detection and filtering (aspects of stochastic processes) (60G35) Discrete-time Markov processes on general state spaces (60J05) Bayesian inference (62F15) Monte Carlo methods (65C05)

Recommendations

• Limit theorems for weighted samples with applications to sequential Monte Carlo methods
• Limit theorems for weighted samples with applications to sequential Monte Carlo methods
• Properties of marginal sequential Monte Carlo methods
• Sequentially interacting Markov chain Monte Carlo methods
• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference

Cites work

• A note on auxiliary particle filters
• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
• Dynamic Conditional Independence Models and Markov Chain Monte Carlo Methods
• Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
• Filtering via Simulation: Auxiliary Particle Filters
• Fluctuations of interacting Markov chain Monte Carlo methods
• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 2106098 (Why is no real title available?)
• scientific article; zbMATH DE number 835835 (Why is no real title available?)
• Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations
• Long-term stability of sequential Monte Carlo methods under verifiable conditions
• Lookahead strategies for sequential Monte Carlo
• On nonlinear Markov chain Monte Carlo
• Particle filters
• Particle Markov Chain Monte Carlo Methods
• Positivity of hit-and-run and related algorithms
• Rates of convergence of the Hastings and Metropolis algorithms
• Recursive Monte Carlo filters: algorithms and theoretical analysis
• Renewal theory and computable convergence rates for geometrically erdgodic Markov chains
• Sampling latent states for high-dimensional non-linear state space models with the embedded HMM method
• Sequentially interacting Markov chain Monte Carlo methods
• Stability properties of some particle filters
• The Gaussian mixture MCMC particle algorithm for dynamic cluster tracking
• The pseudo-marginal approach for efficient Monte Carlo computations

Cited in

(7)

• Global Consensus Monte Carlo
• Parallelizing particle filters with butterfly interactions
• An Invitation to Sequential Monte Carlo Samplers
• Properties of marginal sequential Monte Carlo methods
• Finite sample complexity of sequential Monte Carlo estimators on multimodal target distributions
• The divide-and-conquer sequential Monte Carlo algorithm: theoretical properties and limit theorems
• Limit theorems for weighted samples with applications to sequential Monte Carlo methods

This page was built for publication: Limit theorems for sequential MCMC methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5005017)