Particle Markov Chain Monte Carlo Methods
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Publication:4632633
DOI10.1111/J.1467-9868.2009.00736.XzbMATH Open1411.65020OpenAlexW1501586228WikidataQ55951935 ScholiaQ55951935MaRDI QIDQ4632633FDOQ4632633
Authors: Christophe Andrieu, Arnaud Doucet, Roman Holenstein 
Publication date: 30 April 2019
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9868.2009.00736.x
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Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02)
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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
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- Accelerating pseudo-marginal MCMC using Gaussian processes
- Bayesian model comparison with the Hyvärinen score: computation and consistency
- The generalized cross validation filter
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- Controlled sequential Monte Carlo
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- MCMC Algorithms for Posteriors on Matrix Spaces
- Estimating the Granularity Coefficient of a Potts-Markov Random Field Within a Markov Chain Monte Carlo Algorithm
- Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
- Contagion modeling between the financial and insurance markets with time changed processes
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- On integration methods based on scrambled nets of arbitrary size
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- Sequential Monte Carlo smoothing with parameter estimation
- Comparison of stochastic and deterministic frameworks in dengue modelling
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- Bayesian estimation of state space models using moment conditions
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- Monte Carlo methods for inference in high-dimensional systems
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- 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
- Kernel methods in system identification, machine learning and function estimation: a survey
- Importance sampling for partially observed temporal epidemic models
- Portfolio insurance under rough volatility and Volterra processes
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
- Monte Carlo Inference for State–Space Models of Wild Animal Populations
- Residual and stratified branching particle filters
- On Large Lag Smoothing for Hidden Markov Models
- An Invitation to Sequential Monte Carlo Samplers
- Forecast density combinations of dynamic models and data driven portfolio strategies
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- Particle predictive control
- Particle learning for general mixtures
- Dynamic prediction pools: an investigation of financial frictions and forecasting performance
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- Another look at Bayes map iterated filtering
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