A population Monte Carlo scheme with transformed weights and its application to stochastic kinetic models

DOI10.1007/s11222-013-9440-2zbMath1331.65015arXiv1208.5600OpenAlexW3124477112MaRDI QIDQ5962748

Eugenia Koblents, Joaquín Míguez

Publication date: 23 February 2016

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.5600

zbMATH Keywords

importance samplingdegeneracy of importance weightspopulation Monte Carlostochastic kinetic models

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (7)

Direct statistical inference for finite Markov jump processes via the matrix exponential ⋮ Correlated pseudo-marginal schemes for time-discretised stochastic kinetic models ⋮ Parameter inference for a stochastic kinetic model of expanded polyglutamine proteins ⋮ Accelerating inference for stochastic kinetic models ⋮ Bayesian computation methods for inference in stochastic kinetic models ⋮ Nested particle filters for online parameter estimation in discrete-time state-space Markov models ⋮ Implicitly adaptive importance sampling

Cites Work

• Unnamed Item
• Moment closure based parameter inference of stochastic kinetic models
• Fundamentals of stochastic filtering
• On the stability of sequential Monte Carlo methods in high dimensions
• Sequential Monte Carlo Methods in Practice
• Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo
• Sequential Monte Carlo Samplers
• Curse-of-dimensionality revisited: Collapse of the particle filter in very large scale systems
• Probability with Martingales
• Sequential Imputations and Bayesian Missing Data Problems
• A Particle Filtering Scheme for Processing Time Series Corrupted by Outliers
• Particle Markov Chain Monte Carlo Methods
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Probability Inequalities for Sums of Bounded Random Variables
• Advanced Lectures on Machine Learning

This page was built for publication: A population Monte Carlo scheme with transformed weights and its application to stochastic kinetic models