On particle Gibbs sampling

DOI10.3150/14-BEJ629zbMath1333.60164arXiv1304.1887OpenAlexW3102824770MaRDI QIDQ2515520

Nicolas Chopin, Sumeetpal S. Singh

Publication date: 5 August 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.1887

zbMATH Keywords

Markov chain Monte Carlo methodFeynman-Kac formulaparticle filteringsequential Monte Carlo methodparticle Gibbs sampling

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40)

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Cites Work

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• On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
• General state space Markov chains and MCMC algorithms
• A note on Metropolis-Hastings kernels for general state spaces
• Convergence properties of pseudo-marginal Markov chain Monte Carlo algorithms
• Inference in hidden Markov models.
• Sequential Monte Carlo Methods in Practice
• Particle Markov Chain Monte Carlo for Efficient Numerical Simulation
• Sequential Monte Carlo Methods for Dynamic Systems
• On particle filters applied to electricity load forecasting
• Probability Inequalities for Sums of Bounded Random Variables
• Path storage in the particle filter

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