Particle Markov Chain Monte Carlo Methods
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Publication:4632633
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- scientific article; zbMATH DE number 1995731 (Why is no real title available?)
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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)- A score-based filter for nonlinear data assimilation
- On stochastic dynamic modeling of incidence data
- 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
- Accelerating MCMC algorithms
- On backward smoothing algorithms
- De-biasing particle filtering for a continuous time hidden Markov model with a Cox process observation model
- Differentiable particle filters with smoothly jittered resampling
- Foreword. On sequential Monte Carlo: an overview
- Estimating Boltzmann averages for protein structural quantities using sequential Monte Carlo
- Particle-based, rapid incremental smoother meets particle Gibbs
- Estimation of nonlinear mixed‐effects continuous‐time models using the continuous‐discrete extended Kalman filter
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing
- Data assimilation for large‐scale spatio‐temporal systems using a location particle smoother
- Bayesian parameter inference for partially observed stochastic volterra equations
- Early warning forecasts for COVID-19 in Korea using Bayesian estimation of the transmission rate
- A point mass proposal method for Bayesian state-space model fitting
- Sequential Monte Carlo optimization and statistical inference
- Statistical challenges in estimating past climate changes
- An ensemble score filter for tracking high-dimensional nonlinear dynamical systems
- Statistical inference with quantum measurements: methodologies for nitrogen vacancy centers in diamond
- Learning variational autoencoders via MCMC speed measures
- Testing data cloning as the basis of an estimator for the stochastic volatility in mean model
- Semiparametric modeling of SARS-CoV-2 transmission using tests, cases, deaths, and seroprevalence data
- Comparison of simulation-based algorithms for parameter estimation and state reconstruction in nonlinear state-space models
- The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty
- Properties of marginal sequential Monte Carlo methods
- Full‐information estimation of heterogeneous agent models using macro and micro data
- Reversed particle filtering for hidden Markov models
- Bayesian nonparametric mixture modeling for temporal dynamics of gender stereotypes
- A stochastic maximum principle approach for reinforcement learning with parameterized environment
- Approximating Bayes in the 21st century
- Computing Bayes: from then `til now
- Metropolis-Hastings transition kernel couplings
- A categorical framework for modeling with stock and flow diagrams
- Mathematical models: perspectives of mathematical modelers and public health professionals
- Bayesian identification of nonseparable Hamiltonians with multiplicative noise using deep learning and reduced-order modeling
- Heterogeneity of consumption responses to income shocks in the presence of nonlinear persistence
- The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability
- Sequential model identification with reversible jump ensemble data assimilation method
- When ecological individual heterogeneity models and large data collide: an importance sampling approach
- Variational Bayes in State Space Models: Inferential and Predictive Accuracy
- The divide-and-conquer sequential Monte Carlo algorithm: theoretical properties and limit theorems
- Automatically adapting the number of state particles in \(\text{SMC}^2\)
- Inferring medication adherence from time-varying health measures
- Encounters with Martingales in Statistics and Stochastic Optimization
- Optimal filtering equations in state space model of the two factors mean reverting Ornstein-Uhlenbech process
- Dynamic Mixture of Experts Models for Online Prediction
- Parameter estimation with increased precision for elliptic and hypo-elliptic diffusions
- Variance estimation for sequential Monte Carlo algorithms: a backward sampling approach
- Sequentially guided MCMC proposals for synthetic likelihoods and correlated synthetic likelihoods
- Generalised likelihood profiles for models with intractable likelihoods
- Estimating time-varying proximity with a state–space model
- 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
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