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)

• Exact rates of convergence for a branching particle approximation to the solution of the Zakai equation
• Periodically collapsing Evans bubbles and stock-price volatility
• Iterated gain-based stochastic filters for dynamic system identification
• Real time detection of structural breaks in GARCH models
• Ensemble Kalman inversion for nonlinear problems: weights, consistency, and variance bounds
• Uniform time average consistency of Monte Carlo particle filters
• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
• A stable estimator of the information matrix under EM for dependent data
• On particle Gibbs sampling
• Genealogical particle analysis of rare events
• A Bayesian Topological Framework for the Identification and Reconstruction of Subcellular Motion
• Accuracy and stability of filters for dissipative PDEs
• Error of calculating the optimal Bayesian estimate using the Monte Carlo method in nonlinear problems
• Enhanced consistency of the resampled convolution particle filter
• Uncertainty quantification in the ensemble Kalman filter
• A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
• On adaptive resampling strategies for sequential Monte Carlo methods
• Monitoring and prediction of an epidemic outbreak using syndromic observations
• On solving integral equations using Markov chain Monte Carlo methods
• A Bayesian approach for inferring neuronal connectivity from calcium fluorescent imaging data
• Unified set membership theory for identification, prediction and filtering of nonlinear systems
• Long-term stability of sequential Monte Carlo methods under verifiable conditions
• Design of complex systems in the presence of large uncertainties: a statistical approach
• Model-based structural health monitoring of naval ship hulls
• A tutorial on particle filters
• Predictive modeling of cholera outbreaks in Bangladesh
• Multivariable feedback particle filter
• Antithetic sampling for sequential Monte Carlo methods with application to state-space models
• Higher order sigma point filter: a new heuristic for nonlinear time series filtering
• Concentration inequalities for mean field particle models
• Efficient estimation and particle filter for max-stable processes
• Sequential Monte Carlo Point-Process Estimation of Kinematics from Neural Spiking Activity for Brain-Machine Interfaces
• Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
• Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
• Adaptive sequential Monte Carlo by means of mixture of experts
• Computing highly accurate or exact \(P\)-values using importance sampling
• Simulation-based Bayesian optimal design of aircraft trajectories for air traffic management
• On the use of particle Markov chain Monte Carlo in parameter estimation of space-time interacting discs
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• Parameter estimation for hidden Markov models with intractable likelihoods
• Nonlinear filters for chaotic oscillatory systems
• Bandwidth selection in pre-smoothed particle filters
• Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation
• Adaptive approximation of higher order posterior statistics
• Recognizing recurrent neural networks (rRNN): Bayesian inference for recurrent neural net\-works
• Bridging the ensemble Kalman filter and particle filters: The adaptive Gaussian mixture filter
• The generalized cross entropy method, with applications to probability density estimation
• An efficient algorithm for rare-event probability estimation, combinatorial optimization, and counting
• Euro area inflation persistence in an estimated nonlinear DSGE model
• On nonlinear Markov chain Monte Carlo
• Non-linear DSGE models and the optimized central difference particle filter
• Tree based functional expansions for Feynman--Kac particle models
• Generalized fiducial inference for logistic graded response models
• Bayesian models of brain and behaviour
• Application of a data-driven fuzzy control design to a wind turbine benchmark model
• A multi-resolution, non-parametric, Bayesian framework for identification of spatially-varying model parameters
• Bayesian sequential experimental design for binary response data with application to electromyographic experiments
• Continuous-discrete extended Kalman filter on matrix Lie groups using concentrated Gaussian distributions
• On robust input design for nonlinear dynamical models
• A survey of sequential Monte Carlo methods for economics and finance
• Interacting sequential Monte Carlo samplers for trans-dimensional simulation
• Sequential Monte Carlo Samplers: Error Bounds and Insensitivity to Initial Conditions
• The Ornstein-Uhlenbeck Dirichlet process and other time-varying processes for Bayesian nonparametric inference
• Uncertainty estimation and prediction for interdisciplinary ocean dynamics
• Truncation nonlinear filters for state estimation with nonlinear inequality constraints
• Parametric estimation of hidden stochastic model by contrast minimization and deconvolution
• Analysis of the 3DVAR filter for the partially observed Lorenz '63 model
• Estimating dynamic equilibrium models with stochastic volatility
• A duality formula for Feynman-Kac path particle models
• A survey of numerical methods for nonlinear filtering problems
• Simulation-based Bayesian inference for epidemic models
• Sequential Monte Carlo EM for multivariate probit models
• Spatio-temporal model for a random set given by a union of interacting discs
• A tutorial on adaptive design optimization
• Perturbative expansion technique for non-linear FBSDEs with interacting particle method
• Dimensional reduction in nonlinear filtering: a homogenization approach
• Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae
• Sequential Monte Carlo methods in random intercept models for longitudinal data
• Decreasing flow uncertainty in Bayesian inverse problems through Lagrangian drifter control
• Stopping-Time Resampling for Sequential Monte Carlo Methods
• Monte Carlo Methods for the Neutron Transport Equation
• Hierarchical visual event pattern mining and its applications
• PF-MPC: particle filter-model predictive control
• Adaptive multilevel splitting: historical perspective and recent results
• Improved particle filters for multi-target tracking
• Using state-space model with regime switching to represent the dynamics of facial electromyography (EMG) data
• Stochastic global optimization as a filtering problem
• Fluctuations of interacting Markov chain Monte Carlo methods
• Particle filters with random resampling times
• Adaptive weighting of local classifiers by particle filters for robust tracking
• Stability of Feynman-Kac formulae with path-dependent potentials
• Sequentially interacting Markov chain Monte Carlo methods
• Sequential Data Assimilation Techniques in Oceanography
• Path sampling with stochastic dynamics: some new algorithms
• Filtering discrete time nonlinear systems with unknown parameters: a nonparametric approach.
• Nonparametric multi-step prediction in nonlinear state space dynamic systems
• Likelihood free inference for Markov processes: a comparison
• Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations
• Filtering with state space localized Kalman gain
• A dynamic fusion system for fast nuclear source detection and localization with mobile sensor networks

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