Particle Metropolis-Hastings using gradient and Hessian information

DOI10.1007/s11222-014-9510-0zbMath1331.62134arXiv1311.0686OpenAlexW3099693596MaRDI QIDQ5963543

Johan Dahlin, Fredrik Lindsten, Thomas B. Schön

Publication date: 22 February 2016

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

Full work available at URL: https://arxiv.org/abs/1311.0686

zbMATH Keywords

sequential Monte Carlofixed-lag particle smoothingmanifold MALAparameter inferenceparticle Markov chain Monte Carlo

Mathematics Subject Classification ID

Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40) Information theory (general) (94A15)

Related Items (8)

Augmentation schemes for particle MCMC ⋮ A flexible particle Markov chain Monte Carlo method ⋮ A second-order iterated smoothing algorithm ⋮ A rare event approach to high-dimensional approximate Bayesian computation ⋮ Filtering and estimation for a class of stochastic volatility models with intractable likelihoods ⋮ Particle Metropolis-Hastings using gradient and Hessian information ⋮ Introduction to ``Particle Metropolis-Hastings using gradient and Hessian information by J. Dahlin, F. Lindsten, T. Schön ⋮ On particle methods for parameter estimation in state-space models

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