Rao-Blackwellization of Particle Markov Chain Monte Carlo Methods Using Forward Filtering Backward Sampling

DOI10.1109/TSP.2011.2161296MaRDI QIDQ4573221zbMATH OpenOpenAlexFDO

Authors Jimmy Olsson, Tobias Rydén

Publication date 18 July 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2011.2161296

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20) Sampling theory in information and communication theory (94A20)

Cited in

(5)

• Augmentation schemes for particle MCMC
• On variance stabilisation in population Monte Carlo by double Rao-Blackwellisation
• A flexible particle Markov chain Monte Carlo method
• Rao-Blackwellisation of sampling schemes
• A vanilla Rao-Blackwellization of Metropolis-Hastings algorithms

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