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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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
- The pseudo-marginal approach for efficient Monte Carlo computations
- 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
- A backward doubly stochastic differential equation approach for nonlinear filtering problems
- 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
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- A new efficient parameter estimation algorithm for high-dimensional complex nonlinear turbulent dynamical systems with partial observations
- Sequential estimation of temporally evolving latent space network models
- Matrices -- compensating the loss of anschauung
- 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
- Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models
- Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes
- Probabilistic solutions to ordinary differential equations as nonlinear Bayesian filtering: a new perspective
- Estimation of agent-based models using sequential Monte Carlo methods
- A subdiffusive stochastic volatility jump model
- Mode jumping MCMC for Bayesian variable selection in GLMM
- Approximate Bayesian Computation for a Class of Time Series Models
- Efficiency of delayed-acceptance random walk metropolis algorithms
- A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations
- RMCMC: a system for updating Bayesian models
- A Bayesian mixture of Lasso regressions with \(t\)-errors
- Gaussian process hyper-parameter estimation using parallel asymptotically independent Markov sampling
- Coupling stochastic EM and approximate Bayesian computation for parameter inference in 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
- Accelerating pseudo-marginal MCMC using Gaussian processes
- Bayesian model comparison with the Hyvärinen score: computation and consistency
- The generalized cross validation filter
- Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach
- Controlled sequential Monte Carlo
Uses Software
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