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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Cited In (only showing first 100 items - show all)
- 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
- 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
- Particle Metropolis-Hastings using gradient and Hessian information
- Particle predictive control
- Particle learning for general mixtures
- Dynamic prediction pools: an investigation of financial frictions and forecasting performance
- Panel Data Analysis via Mechanistic Models
- A hybrid scan Gibbs sampler for Bayesian models with latent variables
- A flexible particle Markov chain Monte Carlo method
- Twisting the alive particle filter
- Efficient estimation and filtering for multivariate jump-diffusions
- On idiosyncratic stochasticity of financial leverage effects
- Sequential Monte Carlo Samplers
- Particle Markov chain Monte Carlo for efficient numerical simulation
- Particle Gibbs with ancestor sampling
- Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems
- Dimension-independent likelihood-informed MCMC
- Sequential Monte Carlo methods
- A problem in particle physics and its Bayesian analysis
- Another look at Bayes map iterated filtering
- A tutorial on particle filters
- Comparison of the performance of particle filter algorithms applied to tracking of a disease epidemic
- A Rao-blackwellized particle filter for joint parameter estimation and biomass tracking in a stochastic predator-prey system
- Bayesian methods for time series of count data
- Efficient learning via simulation: a marginalized resample-move approach
- On the use of Markov chain Monte Carlo methods for the sampling of mixture models: a statistical perspective
- A new kernel-based approach to hybrid system identification
- Bayesian Synthetic Likelihood
- Bayesian inference for Markov jump processes with informative observations
- On the use of particle Markov chain Monte Carlo in parameter estimation of space-time interacting discs
- Indirect inference in fractional short-term interest rate diffusions
- Multivariate Wishart stochastic volatility and changes in regime
- Sequential Monte Carlo Methods for Dynamic Systems
- On predictive inference for intractable models via approximate Bayesian computation
- On particle Gibbs samplers
- Particle MCMC algorithms and architectures for accelerating inference in state-space models
- Non-linear DSGE models and the optimized central difference particle filter
- Inference on high-dimensional implicit dynamic models using a guided intermediate resampling filter
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- Direct fitting of dynamic models using integrated nested Laplace approximations -- INLA
- Bayesian inference for nonlinear structural time series models
- Particle rolling MCMC with double-block sampling
- A survey of sequential Monte Carlo methods for economics and finance
- Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods
- The Bouncy Particle Sampler: A Non-Reversible Rejection-Free Markov Chain Monte Carlo Method
- Scalable inference for Markov processes with intractable likelihoods
- Parameterisation and efficient MCMC estimation of non-Gaussian state space models
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- Accelerating inference for diffusions observed with measurement error and large sample sizes using approximate Bayesian computation
- Parametric estimation of hidden stochastic model by contrast minimization and deconvolution
- A duality formula for Feynman-Kac path particle models
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- Bayesian semiparametric Wiener system identification
- Simulation-based Bayesian inference for epidemic models
- Modeling and inference for infectious disease dynamics: a likelihood-based approach
- Sequential Monte Carlo methods for mixtures with normalized random measures with independent increments priors
- Bayesian computation methods for inference in stochastic kinetic models
- Likelihood computation for hidden Markov models via generalized two-filter smoothing
- Capturing the dynamics of pathogens with many strains
- Piecewise approximate Bayesian computation: fast inference for discretely observed Markov models using a factorised posterior distribution
- Autodifferentiable ensemble Kalman filters
- Bayesian frequentist bounds for machine learning and system identification
- A method for high-dimensional smoothing
- Collective proposal distributions for nonlinear MCMC samplers: mean-field theory and fast implementation
- Unbiased inference for discretely observed hidden Markov model diffusions
- Stochastic gradient MCMC for state space models
- On the performance of particle filters with adaptive number of particles
- A novel particle filter for extended target tracking with random hypersurface model
- A flexible state-space model for learning nonlinear dynamical systems
- Multilevel bootstrap particle filter
- Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion
- Compressed Monte Carlo with application in particle filtering
- Adaptive particle allocation in iterated sequential Monte Carlo via approximating meta-models
- A box regularized particle filter for state estimation with severely ambiguous and non-linear measurements
- Posterior consistency for partially observed Markov models
- 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
- Nonexchangeable random partition models for microclustering
- Divide-and-conquer Bayesian inference in hidden Markov models
- Data-cloning SMC\(^2\): a global optimizer for maximum likelihood estimation of latent variable models
- Boolean Kalman filter and smoother under model uncertainty
- Linear system identification using the sequential stabilizing spline algorithm
- Sequential Monte Carlo with transformations
- Smoothing graphons for modelling exchangeable relational data
- A direct filter method for parameter estimation
- Statistical modelling of cell movement
- Predicting population extinction from early observations of the Lotka-Volterra system
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