Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter

DOI10.1016/j.csda.2014.10.006OpenAlexW1976905360WikidataQ109998338 ScholiaQ109998338MaRDI QIDQ1623778

Heikki Haario, Simo Särkkä, Isambi Sailon Mbalawata, Matti Vihola

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.5875

zbMATH Keywords

Markov chain Monte Carlovariational Bayesadaptive Kalman filteradaptive Metropolis algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items

Improved distributed particle filters for tracking in a wireless sensor network, A modified variational Bayesian noise adaptive Kalman filter, A mathematical model for the dynamics and MCMC analysis of tomato bacterial wilt disease

Uses Software

• BayesDA
• ramcmc

Cites Work

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