On particle Gibbs samplers

DOI10.1214/15-AIHP695MaRDI QIDQ503087zbMATH OpenFDO

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

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(19)

• Conditional sequential Monte Carlo in high dimensions
• Uniform ergodicity of the particle Gibbs sampler
• A duality formula and a particle Gibbs sampler for continuous time Feynman-Kac measures on path spaces
• Augmentation schemes for particle MCMC
• scientific article; zbMATH DE number 438875 (Why is no real title available?)
• Analysis, detection and correction of misspecified discrete time state space models
• On reparametrization and the Gibbs sampler
• 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
• Particle Gibbs split-merge sampling for Bayesian inference in mixture models
• Variance estimation in adaptive sequential Monte Carlo
• On particle Gibbs sampling
• Weak convergence of non-neutral genealogies to Kingman's coalescent
• Uniform ergodicity of the iterated conditional SMC and geometric ergodicity of particle Gibbs samplers
• Gibbs partitions: The convergent case
• The Gibbs sampler with particle efficient importance sampling for state-space models
• A Gibbs sampler on the \(n\)-simplex
• Static-parameter estimation in piecewise deterministic processes using particle Gibbs samplers
• A flexible particle Markov chain Monte Carlo method

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