Dynamic Conditional Independence Models and Markov Chain Monte Carlo Methods

DOI10.2307/2965410MaRDI QIDQ4376015zbMATH OpenOpenAlexFDO

Authors Carlo Berzuini, Nicola G. Best, Walter R. Gilks, Cristiana Larizza

Publication date 10 June 1999

Full work available at URL https://doi.org/10.2307/2965410

zbMATH Keywords

importance samplinggraphical modelmetropolis-Hastings algorithmreal-time forecastingsequential updating

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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Cited in

(23)

• Sequential Monte Carlo methods in random intercept models for longitudinal data
• Markov chain Monte Carlo methods for stochastic volatility models.
• A statistical approach to the inverse problem in magnetoencephalography
• Particle filters for continuous likelihood evaluation and maximisation
• Ensemble Kalman methods for high-dimensional hierarchical dynamic space-time models
• Sequential Bayesian inference for vector autoregressions with stochastic volatility
• RMCMC: a system for updating Bayesian models
• The Gaussian mixture MCMC particle algorithm for dynamic cluster tracking
• Bayesian inference for nonlinear multivariate diffusion models observed with error
• Stochastic filtering methods in electronic trading
• A state predictor for continuous-time stochastic systems
• Joint parameter and state estimation based on marginal particle filter and particle swarm optimization
• A robustification approach to stability and to uniform particle approximation of nonlinear filters: the example of pseudo-mixing signals.
• Spatial-temporal nonlinear filtering based on hierarchical statistical models
• Following a moving target -- Monte Carlo inference for dynamic Bayesian models
• A tale of two option markets: pricing kernels and volatility risk
• Practical Filtering with Sequential Parameter Learning
• Fast continuous-discrete DAF-filters
• Sequential Monte Carlo methods in Bayesian joint models for longitudinal and time-to-event data
• Limit theorems for sequential MCMC methods
• A survey of sequential Monte Carlo methods for economics and finance
• A new factor analysis model for factors obeying a Gamma distribution
• Image segmentation using Bayesian inference for convex variant Mumford-Shah variational model

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