Sequential Monte Carlo Methods in Practice

DOI10.1007/978-1-4757-3437-9zbMATH Open0967.00022OpenAlexW1483307070MaRDI QIDQ2734599FDOQ2734599

Authors:

Publication date: 20 August 2001

Full work available at URL: https://doi.org/10.1007/978-1-4757-3437-9

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zbMATH Keywords

Monte Carlo methods

Mathematics Subject Classification ID

Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Proceedings, conferences, collections, etc. pertaining to numerical analysis (65-06) Proceedings, conferences, collections, etc. pertaining to systems and control theory (93-06)

Cited In (only showing first 100 items - show all)

• Bayesian decoding of neural spike trains
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• On particle methods for parameter estimation in state-space models
• Error analysis for numerical formulation of particle filter
• Uniform Stability of a Particle Approximation of the Optimal Filter Derivative
• Dynamically orthogonal field equations for continuous stochastic dynamical systems
• Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
• Estimating the uncertainty in underresolved nonlinear dynamics
• Particle filters
• Sequential Bayesian inference in hidden Markov stochastic kinetic models with application to detection and response to seasonal epidemics
• Sampling, feasibility, and priors in data assimilation
• Computational aspects of sequential Monte Carlo filter and smoother
• Importance sampling for partially observed temporal epidemic models
• Inference for dynamic and latent variable models via iterated perturbed Bayes maps
• On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
• Implicit estimation of ecological model parameters
• Sequential Monte Carlo smoothing for general state space hidden Markov models
• Filtering via approximate Bayesian computation
• A nonasymptotic theorem for unnormalized Feynman-Kac particle models
• Particle filters for continuous likelihood evaluation and maximisation
• Forecast density combinations of dynamic models and data driven portfolio strategies
• An evidential approach to SLAM, path planning, and active exploration
• Bayesian inference with optimal maps
• Without-replacement sampling for particle methods on finite state spaces
• Particle learning and smoothing
• Smoothing algorithms for state-space models
• Rate estimation in partially observed Markov jump processes with measurement errors
• Modified particle filter methods for assimilating Lagrangian data into a point-vortex model
• Model-based decoding, information estimation, and change-point detection techniques for multineuron spike trains
• Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
• Learning and inferring transportation routines
• Uncertainty propagation in orbital mechanics via tensor decomposition
• Autonomous crowds tracking with box particle filtering and convolution particle filtering
• Freeway traffic estimation within particle filtering framework
• Particle EM for variable selection
• Efficient data assimilation for spatiotemporal chaos: a local ensemble transform Kalman filter
• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
• Sequential Monte Carlo for rare event estimation
• Robust Monte Carlo localization for mobile robots
• On the stability of sequential Monte Carlo methods in high dimensions
• Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
• Mean-field variational approximate Bayesian inference for latent variable models
• Universal residuals: a multivariate transformation
• Sequentially constrained Monte Carlo
• Sequential Monte Carlo Samplers
• Computational advances for and from Bayesian analysis
• Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models
• Adaptive multiple importance sampling
• Time-varying combinations of predictive densities using nonlinear filtering
• Online expectation maximization based algorithms for inference in hidden Markov models
• Cramér-Rao lower bound in nonlinear filtering problems under noises and measurement errors dependent on estimated parameters
• Dirac mixture approximation for nonlinear stochastic filtering
• Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
• Efficient learning via simulation: a marginalized resample-move approach
• Recursive Monte Carlo filters: algorithms and theoretical analysis
• System identification of nonlinear state-space models
• Particle filters and Bayesian inference in financial econometrics
• Small-noise analysis and symmetrization of implicit Monte Carlo samplers
• Sequential Monte Carlo for Sampling Balanced and Compact Redistricting Plans
• Bayesian Variable Selection and Regularization for Time–Frequency Surface Estimation
• Smoothing sample extremes with dynamic models
• \(\Pi\)4U: a high performance computing framework for Bayesian uncertainty quantification of complex models
• Inference on high-dimensional implicit dynamic models using a guided intermediate resampling filter
• Practical Filtering with Sequential Parameter Learning
• Particle Markov Chain Monte Carlo Methods
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Lookahead strategies for sequential Monte Carlo
• Kernel density estimation via diffusion
• Polynomial nonlinear spatio‐temporal integro‐difference equation models
• The Markov chain Monte Carlo revolution
• Approximating Hidden Gaussian Markov Random Fields
• On sequential Monte Carlo, partial rejection control and approximate Bayesian computation
• Second-order Accurate Ensemble Transform Particle Filters
• A general science-based framework for dynamical spatio-temporal models
• A random map implementation of implicit filters
• Generalized fiducial inference for normal linear mixed models
• A sigma point-based resampling algorithm in particle filter
• Analysis of high dimensional multivariate stochastic volatility models
• Mixture estimation with state-space components and Markov model of switching
• On parallel implementation of sequential Monte Carlo methods: the island particle model
• Scalable inference for Markov processes with intractable likelihoods
• Time series analysis via mechanistic models
• Variational approximations in Bayesian model selection for finite mixture distributions
• On-Line Inference for Hidden Markov Models via Particle Filters
• GPU accelerated population annealing algorithm
• Limit theorems for weighted samples with applications to sequential Monte Carlo methods
• The sample size required in importance sampling
• Numerically stable online estimation of variance in particle filters
• Factor stochastic volatility with time varying loadings and Markov switching regimes
• Stability and uniform approximation of nonlinear filters using the Hilbert metric and application to particle filters
• Nonlinear gray-box identification using local models applied to industrial robots
• Efficient nonlinear data-assimilation in geophysical fluid dynamics
• Error estimation in coupled multi-physics models
• First-order logical filtering
• State agnostic planning graphs: deterministic, non-deterministic, and probabilistic planning
• Joining and splitting models with Markov melding
• Combined state and parameter estimation in level-set methods
• Semi-parametric dynamic time series modelling with applications to detecting neural dynamics
• Stability of sequential Monte Carlo samplers via the Foster-Lyapunov condition
• Adaptive Design Optimization: A Mutual Information-Based Approach to Model Discrimination in Cognitive Science

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