Particle Markov Chain Monte Carlo Methods
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Publication:4632633
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Cited in
(only showing first 100 items - show all)- Coupled conditional backward sampling particle filter
- A statistical overview and perspectives on data assimilation for marine biogeochemical models
- A new efficient parameter estimation algorithm for high-dimensional complex nonlinear turbulent dynamical systems with partial observations
- Piecewise approximate Bayesian computation: fast inference for discretely observed Markov models using a factorised posterior distribution
- The divide-and-conquer sequential Monte Carlo algorithm: theoretical properties and limit theorems
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- Bayesian frequentist bounds for machine learning and system identification
- Likelihood-free stochastic approximation EM for inference in complex models
- De-biasing particle filtering for a continuous time hidden Markov model with a Cox process observation model
- Differentiable particle filters with smoothly jittered resampling
- Foreword. On sequential Monte Carlo: an overview
- Estimating Boltzmann averages for protein structural quantities using sequential Monte Carlo
- Particle-based, rapid incremental smoother meets particle Gibbs
- Nudging the particle filter
- Autodifferentiable ensemble Kalman filters
- Bayesian hidden Markov modelling using circular‐linear general projected normal distribution
- Monte Carlo methods for inference in high-dimensional systems
- ParticleMDI: particle Monte Carlo methods for the cluster analysis of multiple datasets with applications to cancer subtype identification
- Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes
- A method for high-dimensional smoothing
- Matrices -- compensating the loss of anschauung
- Delayed acceptance particle MCMC for exact inference in stochastic kinetic models
- Sequential Bayesian inference in hidden Markov stochastic kinetic models with application to detection and response to seasonal epidemics
- The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability
- Shape-constrained semiparametric additive stochastic volatility models
- Collective proposal distributions for nonlinear MCMC samplers: mean-field theory and fast implementation
- Kernel methods in system identification, machine learning and function estimation: a survey
- Sequential estimation of temporally evolving latent space network models
- A new flexible Bayesian hypothesis test for multivariate data
- Efficient inference for stochastic differential equation mixed-effects models using correlated particle pseudo-marginal algorithms
- An algorithm for non-parametric estimation in state-space models
- Dynamically Rescaled Hamiltonian Monte Carlo for Bayesian Hierarchical Models
- On the performance of particle filters with adaptive number of particles
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
- Importance sampling for partially observed temporal epidemic models
- When ecological individual heterogeneity models and large data collide: an importance sampling approach
- Variational Bayes in State Space Models: Inferential and Predictive Accuracy
- Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
- Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
- Value at risk estimation under stochastic volatility models using adaptive PMCMC methods
- Unbiased inference for discretely observed hidden Markov model diffusions
- Stochastic gradient MCMC for state space models
- A novel particle filter for extended target tracking with random hypersurface model
- Residual and stratified branching particle filters
- Probabilistic solutions to ordinary differential equations as nonlinear Bayesian filtering: a new perspective
- Portfolio insurance under rough volatility and Volterra processes
- Monte Carlo Inference for State–Space Models of Wild Animal Populations
- A Sample-Wise Data Driven Control Solver for the Stochastic Optimal Control Problem with Unknown Model Parameters
- Approximate leave-future-out cross-validation for Bayesian time series models
- Multilevel bootstrap particle filter
- Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion
- A flexible state-space model for learning nonlinear dynamical systems
- Compressed Monte Carlo with application in particle filtering
- Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
- Time series of count data: a review, empirical comparisons and data analysis
- Forecast density combinations of dynamic models and data driven portfolio strategies
- Estimation of agent-based models using sequential Monte Carlo methods
- \(\mathrm{SMC}^2\): an efficient algorithm for sequential analysis of state space models
- On Large Lag Smoothing for Hidden Markov Models
- Particle predictive control
- An Invitation to Sequential Monte Carlo Samplers
- A box regularized particle filter for state estimation with severely ambiguous and non-linear measurements
- Mode jumping MCMC for Bayesian variable selection in GLMM
- Posterior consistency for partially observed Markov models
- Adaptive particle allocation in iterated sequential Monte Carlo via approximating meta-models
- Bayesian estimation of long-run risk models using sequential Monte Carlo
- A subdiffusive stochastic volatility jump model
- Gaussian process enhanced semi-automatic approximate Bayesian computation: parameter inference in a stochastic differential equation system for chemotaxis
- Reversed particle filtering for hidden Markov models
- Particle Metropolis-Hastings using gradient and Hessian information
- Rethinking soil carbon modelling: a stochastic approach to quantify uncertainties
- Efficient Bayesian model choice for partially observed processes: with application to an experimental transmission study of an infectious disease
- Particle learning for general mixtures
- Nonexchangeable random partition models for microclustering
- Dynamic prediction pools: an investigation of financial frictions and forecasting performance
- Approximate Bayesian Computation for a Class of Time Series Models
- Data-cloning SMC\(^2\): a global optimizer for maximum likelihood estimation of latent variable models
- Efficiency of delayed-acceptance random walk metropolis algorithms
- A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations
- RMCMC: a system for updating Bayesian models
- Divide-and-conquer Bayesian inference in hidden Markov models
- Boolean Kalman filter and smoother under model uncertainty
- A Bayesian mixture of Lasso regressions with t-errors
- Linear system identification using the sequential stabilizing spline algorithm
- Gaussian process hyper-parameter estimation using parallel asymptotically independent Markov sampling
- Vector operations for accelerating expensive Bayesian computations - a tutorial guide
- Coupling stochastic EM and approximate Bayesian computation for parameter inference in state-space models
- Sequential Monte Carlo with transformations
- Lévy backward SDE filter for jump diffusion processes and its applications in material sciences
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- A generalised stochastic volatility in mean VAR
- Sampling latent states for high-dimensional non-linear state space models with the embedded HMM method
- Comparison of simulation-based algorithms for parameter estimation and state reconstruction in nonlinear state-space models
- Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system
- Accelerating pseudo-marginal MCMC using Gaussian processes
- Smoothing graphons for modelling exchangeable relational data
- Unbiased parameter inference for a class of partially observed Lévy-process models
- Variance estimation in adaptive sequential Monte Carlo
- Stochastic epidemic models inference and diagnosis with Poisson random measure data augmentation
- Twisting the alive particle filter
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