Particle Markov Chain Monte Carlo Methods
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Particle Markov Chain Monte Carlo Methods (scientific article; zbMATH DE number 7049248)
Particle Markov Chain Monte Carlo Methods (scientific article; zbMATH DE number 7049248)
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- A sequential particle filter method for static models
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- Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
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- Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection
- The Multiple-Try Method and Local Optimization in Metropolis Sampling
- The pseudo-marginal approach for efficient Monte Carlo computations
Cited in
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- 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
- scientific article; zbMATH DE number 1424402 (Why is no real title available?)
- 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
- Conditional Particle Filters with Bridge Backward Sampling
- 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
- Storvik, Palomares, Engebretsen, Rø, Engø-Monsen, Kristoffersen, De Blasio and Frigessi's reply to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
- Bhatt, Ferguson, Flaxman, Gandy, Mishra, and Scott's reply to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
- Jorge Mateu and Álvaro Briz-Redón's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
- Andrew B. Lawson's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
- Hans R. Künsch and Fabio Sigrist's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
- Sawitree Boonpatcharanon, Jane Heffernan and Hanna Jankowski's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
- Heejong Bong, Valerie Ventura and Larry Wasserman's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
- Alice Corbella, Anne M. Presanis, Paul J. Birrell and Daniela de Angelis's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
- Sanmitra Ghosh's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
- Paul J. Birrell, Angelos Alexopoulos and Daniela de Angelis's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
- Arun Chind's contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
- Seconder of the vote of thanks and contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
- Proposer of the vote of thanks and contribution to the discussion of `The second discussion meeting on statistical aspects of the COVID-19 pandemic'
- A sequential Monte Carlo approach to estimate a time-varying reproduction number in infectious disease models: the COVID-19 case
- Semi-mechanistic Bayesian modelling of COVID-19 with renewal processes
- 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
- Auxiliary MCMC samplers for parallelisable inference in high-dimensional latent dynamical systems
- 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
- A survey of Monte Carlo methods for noisy and costly densities with application to reinforcement learning and ABC
- 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
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