A flexible particle Markov chain Monte Carlo method

DOI10.1007/s11222-019-09916-7zbMath1447.62095arXiv1401.1667OpenAlexW2999047676WikidataQ126355372 ScholiaQ126355372MaRDI QIDQ2195824

Robert Kohn, David Gunawan, Eduardo F. Mendes, Christopher K. Carter

Publication date: 27 August 2020

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.1667

zbMATH Keywords

diffusion equationparticle Gibbs samplerfactor stochastic volatility modelparticle marginal Metropolis-Hastings (PMMH) algorithm

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

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