Langevin incremental mixture importance sampling
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Publication:1703855
DOI10.1007/s11222-017-9747-5zbMath1384.65012arXiv1611.06874MaRDI QIDQ1703855
Simon Maskell, Matteo Fasiolo, Flávio Eler de Melo
Publication date: 7 March 2018
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1611.06874
importance sampling; mixture density; Kalman-Bucy filter; local approximation; Langevin diffusion; optimal importance distribution
60J22: Computational methods in Markov chains
62F15: Bayesian inference
65C40: Numerical analysis or methods applied to Markov chains
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