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

DOI10.1109/TSP.2011.2161296zbMATH Open1391.65010OpenAlexW2111838850MaRDI QIDQ4573221FDOQ4573221

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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