Particle Markov Chain Monte Carlo Methods
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Publication:4632633
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Cites work
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- scientific article; zbMATH DE number 1995731 (Why is no real title available?)
- scientific article; zbMATH DE number 2106098 (Why is no real title available?)
- A sequential particle filter method for static models
- An efficient Markov chain Monte Carlo method for distributions with intractable normalising constants
- Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models
- Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
- Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law
- Bayesian interference based only on simulated likelihood particle filter analysis of dynamic economic models
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- Estimating Macroeconomic Models: A Likelihood Approach
- Filtering via Simulation: Auxiliary Particle Filters
- Following a moving target -- Monte Carlo inference for dynamic Bayesian models
- Inference in hidden Markov models.
- Likelihood analysis of non-Gaussian measurement time series
- Monte Carlo strategies in scientific computing
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On Gibbs sampling for state space models
- Rates of convergence of the Hastings and Metropolis algorithms
- Sequential Monte Carlo Methods in Practice
- Sequential Monte Carlo Samplers
- 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
(only showing first 100 items - show all)- A score-based filter for nonlinear data assimilation
- A hybrid scan Gibbs sampler for Bayesian models with latent variables
- On stochastic dynamic modeling of incidence data
- Dynamic correlation multivariate stochastic volatility with latent factors
- A flexible particle Markov chain Monte Carlo method
- Panel Data Analysis via Mechanistic Models
- Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach
- The generalized cross validation filter
- Data informed solution estimation for forward-backward stochastic differential equations
- Metropolis-Hastings transition kernel couplings
- Spatio-temporal models for big multinomial data using the conditional multivariate logit-beta distribution
- A direct filter method for parameter estimation
- Efficient estimation and filtering for multivariate jump-diffusions
- Bayesian model comparison with the Hyvärinen score: computation and consistency
- An Exact Auxiliary Variable Gibbs Sampler for a Class of Diffusions
- Controlled sequential Monte Carlo
- Approximate maximum likelihood estimation using data-cloning ABC
- Accelerating Bayesian inference for stochastic epidemic models using incidence data
- Kernel learning backward SDE filter for data assimilation
- A fast and efficient Markov chain Monte Carlo method for market microstructure model
- Stochastic embeddings of dynamical phenomena through variational autoencoders
- Direct statistical inference for finite Markov jump processes via the matrix exponential
- Identifying the recurrence of sleep apnea using a harmonic hidden Markov model
- Markov-switching state space models for uncovering musical interpretation
- Exact convergence analysis of the independent Metropolis-Hastings algorithms
- On idiosyncratic stochasticity of financial leverage effects
- Bayesian identification of nonseparable Hamiltonians with multiplicative noise using deep learning and reduced-order modeling
- Predicting population extinction from early observations of the Lotka-Volterra system
- Iterative Bayesian inversion with Gaussian mixtures: finite sample implementation and large sample asymptotics
- Assessing DSGE model nonlinearities
- Graphical posterior predictive classification: Bayesian model averaging with particle Gibbs
- Book review of: R. Douc et al., Nonlinear time series. Theory, methods, and applications with R examples
- Sequential Monte Carlo Samplers
- Particle Markov chain Monte Carlo for efficient numerical simulation
- Sequential state inference of engineering systems through the particle move-reweighting algorithm
- Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems
- Statistical modelling of cell movement
- A new particle filter based on smooth variable structure filter
- Efficient data augmentation techniques for some classes of state space models
- Uniform convergence over time of a nested particle filtering scheme for recursive parameter estimation in state-space Markov models
- Particle Gibbs with ancestor sampling
- A drift homotopy implicit particle filter method for nonlinear filtering problems
- MCMC for Markov-switching models -- Gibbs sampling vs. marginalized likelihood
- Bivariate models for time series of counts: a comparison study between PBINAR models and dynamic factor models
- Dimension-independent likelihood-informed MCMC
- Bayesian computation: a summary of the current state, and samples backwards and forwards
- Automatically adapting the number of state particles in \(\text{SMC}^2\)
- Statistical Inference of Peroxisome Dynamics
- Fluctuations, stability and instability of a distributed particle filter with local exchange
- Gaussian process approximations for fast inference from infectious disease data
- Sequential Monte Carlo optimization and statistical inference
- Statistical challenges in estimating past climate changes
- Learning variational autoencoders via MCMC speed measures
- Testing data cloning as the basis of an estimator for the stochastic volatility in mean model
- Sequential Monte Carlo methods
- Unbiased Markov chain Monte Carlo for intractable target distributions
- MCMC Algorithms for Posteriors on Matrix Spaces
- A problem in particle physics and its Bayesian analysis
- The probability distribution of the ancestral population size conditioned on the reconstructed phylogenetic tree with occurrence data
- A linear noise approximation for stochastic epidemic models fit to partially observed incidence counts
- Bayesian nonparametric mixture modeling for temporal dynamics of gender stereotypes
- Another look at Bayes map iterated filtering
- A tutorial on particle filters
- Contagion modeling between the financial and insurance markets with time changed processes
- Correlated pseudo-marginal schemes for time-discretised stochastic kinetic models
- ABC of the future
- Estimating the Granularity Coefficient of a Potts-Markov Random Field Within a Markov Chain Monte Carlo Algorithm
- Marginal likelihood for Markov-switching and change-point GARCH models
- Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing
- Likelihood-Based Inference for Partially Observed Epidemics on Dynamic Networks
- 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 estimation of dynamic asset pricing models with informative observations
- Sampling Conditionally on a Rare Event via Generalized Splitting
- Particle learning for Bayesian semi-parametric stochastic volatility model
- On backward smoothing algorithms
- Estimation of nonlinear mixed‐effects continuous‐time models using the continuous‐discrete extended Kalman filter
- Data assimilation for large‐scale spatio‐temporal systems using a location particle smoother
- On integration methods based on scrambled nets of arbitrary size
- Semiparametric modeling of SARS-CoV-2 transmission using tests, cases, deaths, and seroprevalence data
- The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty
- Variational Markov chain Monte Carlo for Bayesian smoothing of non-linear diffusions
- The node-wise pseudo-marginal method: model selection with spatial dependence on latent graphs
- Model selection for time series of count data
- Sequential Monte Carlo smoothing with parameter estimation
- Bayesian methods for time series of count data
- Simple conditions for convergence of sequential Monte Carlo genealogies with applications
- Efficient learning via simulation: a marginalized resample-move approach
- Comparison of stochastic and deterministic frameworks in dengue modelling
- A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states
- Generalised likelihood profiles for models with intractable likelihoods
- Estimating time-varying proximity with a state–space model
- On resampling schemes for particle filters with weakly informative observations
- Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model
- Unbiased parameter estimation for partially observed diffusions
- The Bayesian simulation study (BASIS) framework for simulation studies in statistical and methodological research
- A switching state-space transmission model for tracking epidemics and assessing interventions
- Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
- Particle efficient importance sampling
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