Stochastic gradient MCMC for nonlinear state space models

DOI10.1214/23-BA1395MaRDI QIDQ7025509zbMATH OpenFDO

Authors Christopher Aicher, Srshti Putcha, Christopher Nemeth, Paul Fearnhead, Emily B. Fox

Publication date 19 February 2025

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://eprints.lancs.ac.uk/id/eprint/131305/1/1901.10568v1.pdf, https://projecteuclid.org/journals/bayesian-analysis/volume-20/issue-1/Stochastic-Gradient-MCMC-for-Nonlinear-State-Space-Models/10.1214/23-BA1395.full

zbMATH Keywords

Bayesian inferenceexponential forgettingMarkov chain Monte Carlononlinear state space modelparticle filteringstochastic gradient

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(2)

• Stochastic gradient MCMC for nonlinear state space models
• On the computational cost of Stochastic Gradient Langevin Dynamics

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