Ensemble MCMC: accelerating pseudo-marginal MCMC for state space models using the ensemble Kalman filter
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Publication:6121617
DOI10.1214/20-ba1251arXiv1906.02014MaRDI QIDQ6121617
Richard G. Everitt, Andrew Golightly, Christopher C. Drovandi, Dennis Prangle
Publication date: 27 February 2024
Published in: Bayesian Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.02014
state space models; data assimilation; particle filter; particle MCMC; ensemble Kalman filter; pseudo-marginal MCMC
62-XX: Statistics
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