Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
From MaRDI portal
Publication:2388330
DOI10.1214/009053604000000698zbMath1079.65006arXivmath/0508594OpenAlexW2081741802MaRDI QIDQ2388330
Publication date: 12 September 2005
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0508594
central limit theoremstate-space modelparticle filterBayesian problemsMarkov Chain Monte Carlo methodresample-move algorithmresidual resampling
Central limit and other weak theorems (60F05) Bayesian inference (62F15) Monte Carlo methods (65C05) Sequential statistical analysis (62L10)
Related Items
Hamiltonian sequential Monte Carlo with application to consumer choice behavior ⋮ Bayesian learning in performance. Is there any? ⋮ Adaptive online variance estimation in particle filters: the ALVar estimator ⋮ Finite-sample complexity of sequential Monte Carlo estimators ⋮ Fluctuations, stability and instability of a distributed particle filter with local exchange ⋮ Sequential Monte Carlo sampling in hidden Markov models of nonlinear dynamical systems ⋮ Bayesian CV@R/super-quantile regression ⋮ Striated Metropolis-Hastings sampler for high-dimensional models ⋮ Recursive Monte Carlo filters: algorithms and theoretical analysis ⋮ On the convergence of adaptive sequential Monte Carlo methods ⋮ Sequential Monte Carlo Methods for Option Pricing ⋮ Adaptive Metropolis-Hastings sampling using reversible dependent mixture proposals ⋮ A multi-resolution, non-parametric, Bayesian framework for identification of spatially-varying model parameters ⋮ A tutorial on particle filters ⋮ Antithetic sampling for sequential Monte Carlo methods with application to state-space models ⋮ Nonparametric particle filtering and smoothing with quasi-Monte Carlo sampling ⋮ A Unification of Weighted and Unweighted Particle Filters ⋮ Sequential Monte Carlo for fractional stochastic volatility models ⋮ An ergodic theorem for the weighted ensemble method ⋮ American Option Valuation with Particle Filters ⋮ Stochastic filtering for multiscale stochastic reaction networks based on hybrid approximations ⋮ On the Convergence of Quantum and Sequential Monte Carlo Methods ⋮ A Survey of Sequential Monte Carlo Methods for Economics and Finance ⋮ Online Bayesian learning for mixtures of spatial spline regressions with mixed effects ⋮ Adaptive Semiparametric Bayesian Differential Equations Via Sequential Monte Carlo ⋮ Asymptotic genealogies of interacting particle systems with an application to sequential Monte Carlo ⋮ Sequential Bayesian inference for vector autoregressions with stochastic volatility ⋮ Stability properties of some particle filters ⋮ A sharp first order analysis of Feynman-Kac particle models. I: Propagation of chaos ⋮ Robust particle filter formulations with application to terrain‐aided navigation ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ Advanced Multilevel Monte Carlo Methods ⋮ Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets ⋮ Properties of marginal sequential Monte Carlo methods ⋮ Particle efficient importance sampling ⋮ Global robust Bayesian analysis in large models ⋮ A Seamless Multilevel Ensemble Transform Particle Filter ⋮ Variance estimation for sequential Monte Carlo algorithms: a backward sampling approach ⋮ Finite sample complexity of sequential Monte Carlo estimators on multimodal target distributions ⋮ The divide-and-conquer sequential Monte Carlo algorithm: theoretical properties and limit theorems ⋮ Free energy computations by minimization of Kullback-Leibler divergence: An efficient adaptive biasing potential method for sparse representations ⋮ Particle methods for statistical inference and design optimization ⋮ Convergence of the SMC implementation of the PHD filter ⋮ Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods ⋮ A non-linear Keynesian Goodwin-type endogenous model of the cycle: Bayesian evidence for the USA ⋮ Iterated filtering ⋮ Credit risk in an economy with new firms arrivals ⋮ A branching particle approximation to a filtering micromovement model of asset price ⋮ Dynamic filtering of static dipoles in magnetoencephalography ⋮ A general theory of particle filters in hidden Markov models and some applications ⋮ Error bounds for sequential Monte Carlo samplers for multimodal distributions ⋮ Controlled sequential Monte Carlo ⋮ A dynamic fusion system for fast nuclear source detection and localization with mobile sensor networks ⋮ How to Avoid the Curse of Dimensionality: Scalability of Particle Filters with and without Importance Weights ⋮ Twisted particle filters ⋮ Sequential Monte Carlo without likelihoods ⋮ Sequential Monte Carlo smoothing for general state space hidden Markov models ⋮ Correctness of sequential Monte Carlo inference for probabilistic programming languages ⋮ A note on random walks with absorbing barriers and sequential Monte Carlo methods ⋮ Sequentially adaptive Bayesian learning algorithms for inference and optimization ⋮ Tempered particle filtering ⋮ Numerically stable online estimation of variance in particle filters ⋮ A note on auxiliary particle filters ⋮ Variance estimation in adaptive sequential Monte Carlo ⋮ Testing for persistence in US mutual funds' performance: a Bayesian dynamic panel model ⋮ An efficient computational approach for prior sensitivity analysis and cross‐validation ⋮ Convergence rates for residual branching particle filters ⋮ Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions ⋮ Importance sampling: intrinsic dimension and computational cost ⋮ Limit theorems for weighted samples with applications to sequential Monte Carlo methods ⋮ Stability of sequential Monte Carlo samplers via the Foster-Lyapunov condition ⋮ Multilevel sequential Monte Carlo samplers ⋮ On sequential Monte Carlo, partial rejection control and approximate Bayesian computation ⋮ Population Monte Carlo algorithm in high dimensions ⋮ Inference and Model Choice for Sequentially Ordered Hidden Markov Models ⋮ Concentration inequalities for mean field particle models ⋮ Inference on high-dimensional implicit dynamic models using a guided intermediate resampling filter ⋮ Generalized fiducial inference for normal linear mixed models ⋮ Sequential Bayesian inference for implicit hidden Markov models and current limitations ⋮ Diffusion Monte Carlo method: Numerical Analysis in a Simple Case ⋮ Dynamic detection of change points in long time series ⋮ Convergence of adaptive mixtures of importance sampling schemes ⋮ On the stability of sequential Monte Carlo methods in high dimensions ⋮ The use of polynomial chaos for parameter identification from measurements in nonlinear dynamical systems ⋮ Safe adaptive importance sampling: a mixture approach ⋮ Optimal potential functions for the interacting particle system method ⋮ Particle filters for continuous likelihood evaluation and maximisation ⋮ Theory of segmented particle filters ⋮ Nudging the particle filter ⋮ Particle Filters for Partially Observed Diffusions ⋮ Infinite-dimensional gradient-based descent for alpha-divergence minimisation ⋮ Bayesian Conditional Density Filtering ⋮ Interacting sequential Monte Carlo samplers for trans-dimensional simulation ⋮ Negative association, ordering and convergence of resampling methods ⋮ Sequential state inference of engineering systems through the particle move-reweighting algorithm ⋮ Sequential Monte Carlo Samplers ⋮ Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models ⋮ Limit theorems for sequential MCMC methods ⋮ Central limit theorems for coupled particle filters ⋮ Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models ⋮ Multilevel bootstrap particle filter ⋮ Lookahead strategies for sequential Monte Carlo ⋮ On particle methods for parameter estimation in state-space models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Central limit theorem for nonlinear filtering and interacting particle systems
- Nonlinear filtering and measure-valued processes
- Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
- Theory of statistics
- A particle approximation of the solution of the Kushner-Stratonovitch equation
- Recursive Monte Carlo filters: algorithms and theoretical analysis
- Following a Moving Target—Monte Carlo Inference for Dynamic Bayesian Models
- Sequential Monte Carlo Methods in Practice
- Sequential Monte Carlo Samplers
- Convergence of a Branching Particle Method to the Solution of the Zakai Equation
- A sequential particle filter method for static models
- Mixture Kalman Filters
- Sequential Monte Carlo Methods for Dynamic Systems
- Filtering via Simulation: Auxiliary Particle Filters
- Particle Filtering for Partially Observed Gaussian State Space Models
- Fully Exponential Laplace Approximations to Expectations and Variances of Nonpositive Functions
- Minimal Entropy Approximations and Optimal Algorithms
- On the stability of interacting processes with applications to filtering and genetic algorithms
