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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- Estimating Macroeconomic Models: A Likelihood Approach
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Cited in
(only showing first 100 items - show all)- Parameterisation and efficient MCMC estimation of non-Gaussian state space models
- The pseudo-marginal approach for efficient Monte Carlo computations
- The Bouncy Particle Sampler: A Non-Reversible Rejection-Free Markov Chain Monte Carlo Method
- Simulation-based Bayesian inference for epidemic models
- Multivariate Wishart stochastic volatility and changes in regime
- A Bayesian mixture of Lasso regressions with t-errors
- RMCMC: a system for updating Bayesian models
- A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations
- A generalised stochastic volatility in mean VAR
- Sampling latent states for high-dimensional non-linear state space models with the embedded HMM method
- Sequential Monte Carlo smoothing with parameter estimation
- The generalized cross validation filter
- Gaussian process approximations for fast inference from infectious disease data
- Residual and stratified branching particle filters
- Assessing DSGE model nonlinearities
- Estimation of agent-based models using sequential Monte Carlo methods
- Approximate maximum likelihood estimation using data-cloning ABC
- Gaussian process hyper-parameter estimation using parallel asymptotically independent Markov sampling
- Accelerating pseudo-marginal MCMC using Gaussian processes
- Model selection for time series of count data
- Sequential Bayesian inference for static parameters in dynamic state space models
- Mode jumping MCMC for Bayesian variable selection in GLMM
- Bayesian estimation of state space models using moment conditions
- A sharp first order analysis of Feynman-Kac particle models. II: Particle Gibbs samplers
- Coupling stochastic EM and approximate Bayesian computation for parameter inference in state-space models
- Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox
- A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states
- Biased online parameter inference for state-space models
- Bayesian Monte Carlo testing with one-dimensional measures of evidence
- A method for high-dimensional smoothing
- A box regularized particle filter for state estimation with severely ambiguous and non-linear measurements
- Bayesian estimation of dynamic asset pricing models with informative observations
- Tempered particle filtering
- Forecast density combinations of dynamic models and data driven portfolio strategies
- Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods
- f-SAEM: a fast stochastic approximation of the EM algorithm for nonlinear mixed effects models
- Data-cloning SMC\(^2\): a global optimizer for maximum likelihood estimation of latent variable models
- Efficient estimation and filtering for multivariate jump-diffusions
- Simple conditions for convergence of sequential Monte Carlo genealogies with applications
- Nonexchangeable random partition models for microclustering
- Efficiency of delayed-acceptance random walk metropolis algorithms
- Conditional particle filters with diffuse initial distributions
- Uncertainty modelling and computational aspects of data association
- Spatiotemporal blocking of the bouncy particle sampler for efficient inference in state-space models
- Deep state-space Gaussian processes
- On the performance of particle filters with adaptive number of particles
- A hybrid scan Gibbs sampler for Bayesian models with latent variables
- Efficient Bayesian estimation of permutation entropy with Dirichlet priors
- Management and takeover decisions
- Sequential sampling of junction trees for decomposable graphs
- Full Bayesian inference in hidden Markov models of plant growth
- Agent-based models for collective animal movement: proximity-induced state switching
- Parametric estimation of hidden Markov models by least squares type estimation and deconvolution
- Bayesian frequentist bounds for machine learning and system identification
- Matrices -- compensating the loss of anschauung
- Collective proposal distributions for nonlinear MCMC samplers: mean-field theory and fast implementation
- Multilevel bootstrap particle filter
- Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion
- On resampling schemes for particle filters with weakly informative observations
- Comparison of Markov chains via weak Poincaré inequalities with application to pseudo-marginal MCMC
- Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes
- Bayesian estimation of long-run risk models using sequential Monte Carlo
- Gaussian process enhanced semi-automatic approximate Bayesian computation: parameter inference in a stochastic differential equation system for chemotaxis
- Linear system identification using the sequential stabilizing spline algorithm
- Compressed Monte Carlo with application in particle filtering
- Smoothing graphons for modelling exchangeable relational data
- A drift homotopy implicit particle filter method for nonlinear filtering problems
- Stochastic embeddings of dynamical phenomena through variational autoencoders
- Kernel learning backward SDE filter for data assimilation
- Direct statistical inference for finite Markov jump processes via the matrix exponential
- Exact convergence analysis of the independent Metropolis-Hastings algorithms
- A novel particle filter for extended target tracking with random hypersurface model
- Unbiased approximation of posteriors via coupled particle Markov chain Monte Carlo
- Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system
- Unbiased parameter inference for a class of partially observed Lévy-process models
- The node-wise pseudo-marginal method: model selection with spatial dependence on latent graphs
- Parallelizing MCMC sampling via space partitioning
- Statistic selection and MCMC for differentially private Bayesian estimation
- Asymptotic genealogies of interacting particle systems with an application to sequential Monte Carlo
- Estimating linearized heterogeneous agent models using panel data
- Unbiased Markov chain Monte Carlo for intractable target distributions
- A flexible particle Markov chain Monte Carlo method
- Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance
- Particle methods for statistical inference and design optimization
- ParticleMDI: particle Monte Carlo methods for the cluster analysis of multiple datasets with applications to cancer subtype identification
- Markov chain Monte Carlo algorithms with sequential proposals
- Controlled sequential Monte Carlo
- Coupled conditional backward sampling particle filter
- A new efficient parameter estimation algorithm for high-dimensional complex nonlinear turbulent dynamical systems with partial observations
- A direct filter method for parameter estimation
- The probability distribution of the ancestral population size conditioned on the reconstructed phylogenetic tree with occurrence data
- Efficient Bayesian model choice for partially observed processes: with application to an experimental transmission study of an infectious disease
- Indirect inference in fractional short-term interest rate diffusions
- Variance estimation in adaptive sequential Monte Carlo
- Stochastic epidemic models inference and diagnosis with Poisson random measure data augmentation
- Inference for partially observed epidemic dynamics guided by Kalman filtering techniques
- A fast and efficient Markov chain Monte Carlo method for market microstructure model
- Markov-switching state space models for uncovering musical interpretation
- Identifying the recurrence of sleep apnea using a harmonic hidden Markov model
- Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
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