Data-cloning SMC^2: a global optimizer for maximum likelihood estimation of latent variable models

DOI10.1016/J.CSDA.2019.106841MaRDI QIDQ2008135zbMATH OpenOpenAlexFDO

Authors Jin-Chuan Duan, Andras Fulop, Yu-Wei Hsieh

Publication date 22 November 2019

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

Full work available at URL https://doi.org/10.1016/j.csda.2019.106841

zbMATH Keywords

sequential Monte Carlomaximum likelihoodlatent variableMonte Carlo optimizationdata clone

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A multiple-imputation Metropolis version of the EM algorithm
• A sequential particle filter method for static models
• Discrete Choice Methods with Simulation
• Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
• Efficient learning via simulation: a marginalized resample-move approach
• Estimability and Likelihood Inference for Generalized Linear Mixed Models Using Data Cloning
• Following a moving target -- Monte Carlo inference for dynamic Bayesian models
• MCMC maximum likelihood for latent state models
• Marginal maximum a posteriori estimation using Markov chain Monte Carlo
• Microeconometrics
• Particle Markov Chain Monte Carlo Methods
• Sequential Monte Carlo Samplers
• Sequential quasi Monte Carlo. With discussion and authors' reply
• The correlated pseudomarginal method
• The pseudo-marginal approach for efficient Monte Carlo computations
• \(\mathrm{SMC}^2\): an efficient algorithm for sequential analysis of state space models

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(4)

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• Sequential Monte Carlo optimization and statistical inference
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