Sequentially interacting Markov chain Monte Carlo methods

DOI10.1214/09-AOS747zbMath1251.65002arXiv1211.2582MaRDI 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

convergence; Markov chain Monte Carlo method; numerical examples; state-space models; sequential Monte Carlo method; Bayesian time series; Metropolis-Hastings Markov chains; normalizing constants

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F15: Bayesian inference

65C05: Monte Carlo methods

60J05: Discrete-time Markov processes on general state spaces

65C40: Numerical analysis or methods applied to Markov chains

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