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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Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02)
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Cited In (only showing first 100 items - show all)
- Autodifferentiable ensemble Kalman filters
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- Unbiased inference for discretely observed hidden Markov model diffusions
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- A flexible state-space model for learning nonlinear dynamical systems
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- Bayesian estimation of long-run risk models using sequential Monte Carlo
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- Divide-and-conquer Bayesian inference in hidden Markov models
- Data-cloning SMC\(^2\): a global optimizer for maximum likelihood estimation of latent variable models
- Boolean Kalman filter and smoother under model uncertainty
- Linear system identification using the sequential stabilizing spline algorithm
- Sequential Monte Carlo with transformations
- Smoothing graphons for modelling exchangeable relational data
- A direct filter method for parameter estimation
- Statistical modelling of cell movement
- Predicting population extinction from early observations of the Lotka-Volterra system
- Uniform convergence over time of a nested particle filtering scheme for recursive parameter estimation in state-space Markov models
- Unbiased Markov chain Monte Carlo for intractable target distributions
- Likelihood-Based Inference for Partially Observed Epidemics on Dynamic Networks
- Simple conditions for convergence of sequential Monte Carlo genealogies with applications
- On resampling schemes for particle filters with weakly informative observations
- Asymptotic genealogies of interacting particle systems with an application to sequential Monte Carlo
- Second-order extended particle filter with exponential family observation model
- An introduction to particle methods with financial applications
- Consistency of adaptive importance sampling and recycling schemes
- Importance sampling correction versus standard averages of reversible MCMCs in terms of the asymptotic variance
- Conditional particle filters with diffuse initial distributions
- Uncertainty modelling and computational aspects of data association
- Spatiotemporal blocking of the bouncy particle sampler for efficient inference in state-space models
- Calibrating the Gaussian multi-target tracking model
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- Markov chain Monte Carlo algorithms with sequential proposals
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- Deep state-space Gaussian processes
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- Management and takeover decisions
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- A multilevel approach for stochastic nonlinear optimal control
- Bayesian learning of weakly structural Markov graph laws using sequential Monte Carlo methods
- Biased online parameter inference for state-space models
- The Gibbs sampler with particle efficient importance sampling for state-space models
- Comparison of Markov chains via weak Poincaré inequalities with application to pseudo-marginal MCMC
- Parametric estimation of hidden Markov models by least squares type estimation and deconvolution
- Bayesian Monte Carlo testing with one-dimensional measures of evidence
- Coupled conditional backward sampling particle filter
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- 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
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- 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
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- 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
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- On the use of Markov chain Monte Carlo methods for the sampling of mixture models: a statistical perspective
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