Sequentially interacting Markov chain Monte Carlo methods

DOI10.1214/09-AOS747zbMath1251.65002arXiv1211.2582OpenAlexW2062758445MaRDI QIDQ620553

Pierre Del Moral, Arnaud Doucet, Anthony E. Brockwell

Publication date: 19 January 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.2582

zbMATH Keywords

convergenceMarkov chain Monte Carlo methodnumerical examplesstate-space modelssequential Monte Carlo methodBayesian time seriesMetropolis-Hastings Markov chainsnormalizing constants

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (12)

An Invitation to Sequential Monte Carlo Samplers ⋮ Layered adaptive importance sampling ⋮ Sequential estimation of temporally evolving latent space network models ⋮ Fluctuations of interacting Markov chain Monte Carlo methods ⋮ Without-replacement sampling for particle methods on finite state spaces ⋮ On nonlinear Markov chain Monte Carlo ⋮ Bayesian statistics with a smile: a resampling-sampling perspective ⋮ Convergence of adaptive and interacting Markov chain Monte Carlo algorithms ⋮ A general theory of particle filters in hidden Markov models and some applications ⋮ A central limit theorem for adaptive and interacting Markov chains ⋮ Interacting Markov chain Monte Carlo methods for solving nonlinear measure-valued equations ⋮ Limit theorems for sequential MCMC methods

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