Particle Markov Chain Monte Carlo Methods
From MaRDI portal
Publication:4632633
Recommendations
- A flexible particle Markov chain Monte Carlo method
- Markov-chain monte carlo: Some practical implications of theoretical results
- Particle Markov chain Monte Carlo for efficient numerical simulation
- Markov chain Monte Carlo methods: theory and practice
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
- scientific article; zbMATH DE number 1135106
- On the Markov chain Monte Carlo (MCMC) method
- A new class of interacting Markov chain Monte Carlo methods
Cites work
- scientific article; zbMATH DE number 5919872 (Why is no real title available?)
- 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 new kernel-based approach to hybrid system identification
- An Invitation to Sequential Monte Carlo Samplers
- A Rao-blackwellized particle filter for joint parameter estimation and biomass tracking in a stochastic predator-prey system
- Monte Carlo methods for inference in high-dimensional systems
- Quantitative approximations of evolving probability measures and sequential Markov chain Monte Carlo methods
- Forecast density combinations of dynamic models and data driven portfolio strategies
- Multivariate Wishart stochastic volatility and changes in regime
- Residual and stratified branching particle filters
- Kernel methods in system identification, machine learning and function estimation: a survey
- Particle Gibbs with ancestor sampling
- Efficient learning via simulation: a marginalized resample-move approach
- Twisting the alive particle filter
- Bayesian inference for nonlinear structural time series models
- ParticleMDI: particle Monte Carlo methods for the cluster analysis of multiple datasets with applications to cancer subtype identification
- Capturing the dynamics of pathogens with many strains
- Sequential Monte Carlo Methods for Dynamic Systems
- Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems
- Dynamic prediction pools: an investigation of financial frictions and forecasting performance
- Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes
- Non-linear DSGE models and the optimized central difference particle filter
- Importance sampling for partially observed temporal epidemic models
- Particle learning for general mixtures
- On idiosyncratic stochasticity of financial leverage effects
- On particle Gibbs samplers
- scientific article; zbMATH DE number 7626712 (Why is no real title available?)
- The Bouncy Particle Sampler: A Non-Reversible Rejection-Free Markov Chain Monte Carlo Method
- Bayesian semiparametric Wiener system identification
- Simulation-based Bayesian inference for epidemic models
- Bayesian Synthetic Likelihood
- Inference on high-dimensional implicit dynamic models using a guided intermediate resampling filter
- The pseudo-marginal approach for efficient Monte Carlo computations
- Particle MCMC algorithms and architectures for accelerating inference in state-space models
- Parametric estimation of hidden stochastic model by contrast minimization and deconvolution
- On the use of Markov chain Monte Carlo methods for the sampling of mixture models: a statistical perspective
- Bayesian hidden Markov modelling using circular‐linear general projected normal distribution
- Particle rolling MCMC with double-block sampling
- Modeling and inference for infectious disease dynamics: a likelihood-based approach
- Portfolio insurance under rough volatility and Volterra processes
- Sequential Monte Carlo Samplers
- Bayesian methods for time series of count data
- Scalable inference for Markov processes with intractable likelihoods
- Likelihood computation for hidden Markov models via generalized two-filter smoothing
- Parameterisation and efficient MCMC estimation of non-Gaussian state space models
- Particle Markov chain Monte Carlo for efficient numerical simulation
- Particle Metropolis-Hastings using gradient and Hessian information
- Panel Data Analysis via Mechanistic Models
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter
- Bayesian inference for Markov jump processes with informative observations
- Another look at Bayes map iterated filtering
- A tutorial on particle filters
- Indirect inference in fractional short-term interest rate diffusions
- \(\mathrm{SMC}^2\): an efficient algorithm for sequential analysis of state space models
- Efficient estimation and filtering for multivariate jump-diffusions
- A backward doubly stochastic differential equation approach for nonlinear filtering problems
- Sequential Monte Carlo methods for mixtures with normalized random measures with independent increments priors
- Sequential Monte Carlo methods
- Piecewise approximate Bayesian computation: fast inference for discretely observed Markov models using a factorised posterior distribution
- A hybrid scan Gibbs sampler for Bayesian models with latent variables
- A survey of sequential Monte Carlo methods for economics and finance
- On predictive inference for intractable models via approximate Bayesian computation
- 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
- A problem in particle physics and its Bayesian analysis
- Monte Carlo Inference for State–Space Models of Wild Animal Populations
- Particle predictive control
- On Large Lag Smoothing for Hidden Markov Models
- Accelerating inference for diffusions observed with measurement error and large sample sizes using approximate Bayesian computation
- On the use of particle Markov chain Monte Carlo in parameter estimation of space-time interacting discs
- Direct fitting of dynamic models using integrated nested Laplace approximations -- INLA
- Bayesian computation methods for inference in stochastic kinetic models
- A duality formula for Feynman-Kac path particle models
- Comparison of the performance of particle filter algorithms applied to tracking of a disease epidemic
- A flexible particle Markov chain Monte Carlo method
- Agent-based models for collective animal movement: proximity-induced state switching
- A Bayesian mixture of Lasso regressions with \(t\)-errors
- Parallelizing MCMC sampling via space partitioning
- Estimating the Granularity Coefficient of a Potts-Markov Random Field Within a Markov Chain Monte Carlo Algorithm
- Sequential estimation of temporally evolving latent space network models
- Efficiency of delayed-acceptance random walk metropolis algorithms
- On integration methods based on scrambled nets of arbitrary size
- scientific article; zbMATH DE number 1424402 (Why is no real title available?)
- 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
- A new efficient parameter estimation algorithm for high-dimensional complex nonlinear turbulent dynamical systems with partial observations
- Particle Markov chain Monte Carlo techniques of unobserved component time series models using Ox
- Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility
- Comparison of stochastic and deterministic frameworks in dengue modelling
- Approximate maximum likelihood estimation using data-cloning ABC
- Sequential Bayesian inference for static parameters in dynamic state space models
- A generalised stochastic volatility in mean VAR
- Sampling latent states for high-dimensional non-linear state space models with the embedded HMM method
- Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system
- Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
- Matrices -- compensating the loss of anschauung
- Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering
- A drift homotopy implicit particle filter method for nonlinear filtering problems
- Bayesian model comparison with the Hyvärinen score: computation and consistency
- Gaussian process hyper-parameter estimation using parallel asymptotically independent Markov sampling
- Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
- Contagion modeling between the financial and insurance markets with time changed processes
This page was built for publication: Particle Markov Chain Monte Carlo Methods
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4632633)
