Accelerated Monte Carlo for optimal estimation of time series

DOI10.1007/s10955-005-3770-1zbMath1088.82026MaRDI QIDQ2574163

Francis J. Alexander, Gregory L. Eyink, Juan M. Restrepo

Publication date: 18 November 2005

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10955-005-3770-1

zbMATH Keywords

path integral; time series; stochastic processes; hybrid Monte Carlo

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Data assimilation using a GPU accelerated path integral Monte Carlo approach, Estimating parameters in stochastic systems: A variational Bayesian approach, Continuous-discrete path integral filtering, Particle filtering with path sampling and an application to a bimodal ocean current model, Sampling the posterior: an approach to non-Gaussian data assimilation, Optimal tuning of the hybrid Monte Carlo algorithm, A path integral method for data assimilation

Cites Work

• Simulated annealing using hybrid Monte Carlo
• Dynamical equations for optimal nonlinear filtering
• Conditional Markov Processes
• On the most probable path for diffusion processes
• Generalised Gibbs sampler and multigrid Monte Carlo for Bayesian computation
• Most probable histories for nonlinear dynamics: Tracking climate transitions
• Cost of the generalised hybrid Monte Carlo algorithm for free field theory
• Testing a Fourier-accelerated hybrid Monte Carlo algorithm
• Maximum a posteriori sequence estimation using Monte Carlo particle filters