Particle Markov Chain Monte Carlo Methods
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Publication:4632633
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Cites work
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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
- 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
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