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

DOI10.1016/J.CSDA.2019.106841OpenAlexW2975563945MaRDI QIDQ2008135FDOQ2008135

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

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zbMATH Keywords

sequential Monte Carlomaximum likelihoodlatent variableMonte Carlo optimizationdata clone

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Sequential Monte Carlo Samplers
• The pseudo-marginal approach for efficient Monte Carlo computations
• Particle Markov Chain Monte Carlo Methods
• Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
• SMC2: An Efficient Algorithm for Sequential Analysis of State Space Models
• A sequential particle filter method for static models
• The correlated pseudomarginal method
• Microeconometrics
• Efficient learning via simulation: a marginalized resample-move approach
• Following a moving target -- Monte Carlo inference for dynamic Bayesian models
• Discrete Choice Methods with Simulation
• Estimability and Likelihood Inference for Generalized Linear Mixed Models Using Data Cloning
• MCMC maximum likelihood for latent state models
• Marginal maximum a posteriori estimation using Markov chain Monte Carlo
• Sequential quasi Monte Carlo. With discussion and authors' reply
• A multiple-imputation Metropolis version of the EM algorithm

Cited In (4)

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