Particle Markov Chain Monte Carlo Methods
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Publication:4632633
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- 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)- Parametric estimation of hidden Markov models by least squares type estimation and deconvolution
- Coupled conditional backward sampling particle filter
- Conditional particle filters with diffuse initial distributions
- Linear system identification using the sequential stabilizing spline algorithm
- Uncertainty modelling and computational aspects of data association
- Spatiotemporal blocking of the bouncy particle sampler for efficient inference in state-space models
- Unbiased inference for discretely observed hidden Markov model diffusions
- Simple conditions for convergence of sequential Monte Carlo genealogies with applications
- Data-cloning SMC\(^2\): a global optimizer for maximum likelihood estimation of latent variable models
- Advanced Multilevel Monte Carlo Methods
- Bayesian estimation of long-run risk models using sequential Monte Carlo
- Stochastic gradient MCMC for state space models
- Gaussian process enhanced semi-automatic approximate Bayesian computation: parameter inference in a stochastic differential equation system for chemotaxis
- Statistical modelling of cell movement
- On the performance of particle filters with adaptive number of particles
- Calibrating the Gaussian multi-target tracking model
- Asymptotic genealogies of interacting particle systems with an application to sequential Monte Carlo
- A method for high-dimensional smoothing
- Unbiased Markov chain Monte Carlo for intractable target distributions
- Markov chain Monte Carlo algorithms with sequential proposals
- Management and takeover decisions
- A flexible state-space model for learning nonlinear dynamical systems
- Sequential sampling of junction trees for decomposable graphs
- Bayesian system ID: optimal management of parameter, model, and measurement uncertainty
- A multilevel approach for stochastic nonlinear optimal control
- Consistency of adaptive importance sampling and recycling schemes
- Multilevel bootstrap particle filter
- Bayesian parameter inference for partially observed stochastic differential equations driven by fractional Brownian motion
- Predicting population extinction from early observations of the Lotka-Volterra system
- Boolean Kalman filter and smoother under model uncertainty
- Bayesian learning of weakly structural Markov graph laws using sequential Monte Carlo methods
- Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance
- Bayesian Monte Carlo testing with one-dimensional measures of evidence
- Autodifferentiable ensemble Kalman filters
- Compressed Monte Carlo with application in particle filtering
- Comparison of Markov chains via weak Poincaré inequalities with application to pseudo-marginal MCMC
- Online Bayesian inference and learning of Gaussian-process state-space models
- Uniform convergence over time of a nested particle filtering scheme for recursive parameter estimation in state-space Markov models
- Nonexchangeable random partition models for microclustering
- Biased online parameter inference for state-space models
- Deep state-space Gaussian processes
- Efficient Bayesian estimation of permutation entropy with Dirichlet priors
- On resampling schemes for particle filters with weakly informative observations
- Sequential Monte Carlo with transformations
- Smoothing graphons for modelling exchangeable relational data
- Divide-and-conquer Bayesian inference in hidden Markov models
- Simulated likelihood estimators for discretely observed jump-diffusions
- Collective proposal distributions for nonlinear MCMC samplers: mean-field theory and fast implementation
- Second-order extended particle filter with exponential family observation model
- Likelihood-Based Inference for Partially Observed Epidemics on Dynamic Networks
- Inference for partially observed epidemic dynamics guided by Kalman filtering techniques
- The Gibbs sampler with particle efficient importance sampling for state-space models
- Bayesian frequentist bounds for machine learning and system identification
- A box regularized particle filter for state estimation with severely ambiguous and non-linear measurements
- Adaptive particle allocation in iterated sequential Monte Carlo via approximating meta-models
- An introduction to particle methods with financial applications
- Posterior consistency for partially observed Markov models
- A novel particle filter for extended target tracking with random hypersurface model
- Unbiased approximation of posteriors via coupled particle Markov chain Monte Carlo
- A population Monte Carlo scheme with transformed weights and its application to stochastic kinetic models
- 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
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes
- Approximate Bayesian Computation for a Class of Time Series Models
- A unified construction for series representations and finite approximations of completely random measures
- Estimation of agent-based models using sequential Monte Carlo methods
- Analysis, detection and correction of misspecified discrete time state space models
- Dimension-independent likelihood-informed MCMC
- State-space models for count time series with excess zeros
- A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations
- RMCMC: a system for updating Bayesian models
- A subdiffusive stochastic volatility jump model
- The generalized cross validation filter
- Full Bayesian inference in hidden Markov models of plant growth
- A Bayesian approach to estimation of dynamic models with small and large number of heterogeneous players and latent serially correlated states
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