On particle Gibbs samplers

DOI10.1214/15-AIHP695zbMath1356.60114MaRDI QIDQ503087

Pierre Del Moral, Robert Kohn, Frédéric Patras

Publication date: 11 January 2017

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

zbMATH Keywords

Markov chain Monte Carlo methodssequential Monte Carlo methodsFeynman-Kac modelsparticle Gibbs sampling

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Stochastic particle methods (65C35)

Related Items (7)

A sharp first order analysis of Feynman-Kac particle models. I: Propagation of chaos ⋮ A sharp first order analysis of Feynman-Kac particle models. II: Particle Gibbs samplers ⋮ Weak convergence of non-neutral genealogies to Kingman's coalescent ⋮ Conditional sequential Monte Carlo in high dimensions ⋮ Variance estimation in adaptive sequential Monte Carlo ⋮ Analysis, detection and correction of misspecified discrete time state space models ⋮ A duality formula and a particle Gibbs sampler for continuous time Feynman-Kac measures on path spaces

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