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

Cited in

(6)

• A flexible particle Markov chain Monte Carlo method
• A vanilla Rao-Blackwellization of Metropolis-Hastings algorithms
• Augmentation schemes for particle MCMC
• Rao-Blackwellisation of sampling schemes
• Particle MCMC and the correlated particle hybrid sampler for state space models
• On variance stabilisation in population Monte Carlo by double Rao-Blackwellisation

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