Lookahead strategies for sequential Monte Carlo
From MaRDI portal
Publication:254340
DOI10.1214/12-STS401zbMath1332.62144arXiv1302.5206MaRDI QIDQ254340
Ming Lin, Rong Chen, Jun S. Liu
Publication date: 8 March 2016
Published in: Statistical Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.5206
multilevel; sequential Monte Carlo; adaptive lookahead; lookahead sampling; lookahead weighting; pilot lookahead
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G09: Nonparametric statistical resampling methods
65C05: Monte Carlo methods
65C40: Numerical analysis or methods applied to Markov chains
Related Items
Limit theorems for sequential MCMC methods, Online Bayesian learning for mixtures of spatial spline regressions with mixed effects, Simulation from quasi-stationary distributions on reducible state spaces, The Gibbs sampler with particle efficient importance sampling for state-space models*, Inference on high-dimensional implicit dynamic models using a guided intermediate resampling filter, On particle methods for parameter estimation in state-space models, Particle efficient importance sampling, Exploring the conformational space for protein folding with sequential Monte Carlo, Residual and stratified branching particle filters, A closed-form filter for binary time series, Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system, Efficient inference in state-space models through adaptive learning in online Monte Carlo expectation maximization, Controlled sequential Monte Carlo, Bayesian inference for Markov jump processes with informative observations, Protein domain hierarchy Gibbs sampling strategies, Sequential Monte Carlo with Highly Informative Observations
Cites Work
- Unnamed Item
- Unnamed Item
- Particle learning and smoothing
- Smoothing algorithms for state-space models
- Multilevel mixture Kalman filter
- Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
- Adaptive joint detection and decoding in flat-fading channels via mixture Kalman filtering
- Following a Moving Target—Monte Carlo Inference for Dynamic Bayesian Models
- Sequential Monte Carlo Methods in Practice
- Particle Markov Chain Monte Carlo for Efficient Numerical Simulation
- A sequential smoothing algorithm with linear computational cost
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Sequential Imputations and Bayesian Missing Data Problems
- On Gibbs sampling for state space models
- A sequential particle filter method for static models
- Mixture Kalman Filters
- Rejection Control and Sequential Importance Sampling
- Sequential Monte Carlo Methods for Dynamic Systems
- Filtering via Simulation: Auxiliary Particle Filters
- On-Line Inference for Hidden Markov Models via Particle Filters
- Minimal Entropy Approximations and Optimal Algorithms
- Blind Deconvolution via Sequential Imputations
- Gaussian sum particle filtering
- Monte Carlo Smoothing for Nonlinear Time Series
- Independent Particle Filters
- Monte Carlo strategies in scientific computing
