On sequential Monte Carlo, partial rejection control and approximate Bayesian computation
From MaRDI portal
Publication:693361
Abstract: We present a sequential Monte Carlo sampler variant of the partial rejection control algorithm, and show that this variant can be considered as a sequential Monte Carlo sampler with a modified mutation kernel. We prove that the new sampler can reduce the variance of the incremental importance weights when compared with standard sequential Monte Carlo samplers. We provide a study of theoretical properties of the new algorithm, and make connections with some existing algorithms. Finally, the sampler is adapted for application under the challenging "likelihood free," approximate Bayesian computation modelling framework, where we demonstrate superior performance over existing likelihood-free samplers.
Recommendations
Cites work
- scientific article; zbMATH DE number 5919872 (Why is no real title available?)
- scientific article; zbMATH DE number 472946 (Why is no real title available?)
- scientific article; zbMATH DE number 2106098 (Why is no real title available?)
- A note on auxiliary particle filters
- A survey of convergence results on particle filtering methods for practitioners
- Adaptive approximate Bayesian computation
- An adaptive sequential Monte Carlo method for approximate Bayesian computation
- An introduction to MCMC for machine learning
- Approximate Bayesian computation: a nonparametric perspective
- Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
- Chain ladder method: Bayesian bootstrap versus classical bootstrap
- Credibility for the Chain Ladder Reserving Method
- Estimation of parameters for macroparasite population evolution using approximate Bayesian computation
- Filtering via Simulation: Auxiliary Particle Filters
- Generalised linear mixed model analysis via sequential Monte Carlo sampling
- Inference for Stereological Extremes
- Measure-valued processes and interacting particle systems. Application to nonlinear filtering problems
- Monte Carlo strategies in scientific computing
- Particle Filters for Partially Observed Diffusions
- Recursive Monte Carlo filters: algorithms and theoretical analysis
- Rejection Control and Sequential Importance Sampling
- Sequential Monte Carlo Methods for Dynamic Systems
- Sequential Monte Carlo Methods in Practice
- Sequential Monte Carlo Samplers
- Sequential Monte Carlo without likelihoods
- Stability of sequential Monte Carlo samplers via the Foster-Lyapunov condition
- Stochastic claims reserving methods in insurance
Cited in
(19)- Likelihood-free Bayesian inference for \(\alpha\)-stable models
- An adaptive sequential Monte Carlo method for approximate Bayesian computation
- An ABC approach for CAViaR models with asymmetric kernels
- Sequentially constrained Monte Carlo
- An approximate likelihood perspective on ABC methods
- Bayesian inference for fractional oscillating Brownian motion
- Antithetic sampling for sequential Monte Carlo methods with application to state-space models
- Sequential Monte Carlo with Highly Informative Observations
- Controlling procedural modeling programs with stochastically-ordered sequential Monte Carlo
- Rejection Control and Sequential Importance Sampling
- Adaptive approximate Bayesian computation
- Bayesian inference for a flexible class of bivariate beta distributions
- Sequential Monte Carlo for Sampling Balanced and Compact Redistricting Plans
- Some integral inequalities on time scales
- The frontier of simulation-based inference
- A comparative review of dimension reduction methods in approximate Bayesian computation
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods
- Query efficient posterior estimation in scientific experiments via Bayesian active learning
- Chain ladder method: Bayesian bootstrap versus classical bootstrap
This page was built for publication: On sequential Monte Carlo, partial rejection control and approximate Bayesian computation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q693361)
