Interacting sequential Monte Carlo samplers for trans-dimensional simulation

DOI10.1016/j.csda.2007.09.009zbMath1452.62077OpenAlexW1995050491MaRDI QIDQ1023504

Arnaud Doucet, Ajay Jasra, David A. Stephens, Christopher C. Holmes

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.09.009

zbMATH Keywords

Markov chain Monte Carloadaptive methodssequential Monte CarloBayesian model selectionFeynman-Kac formulaetrans-dimensional simulation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (11)

A probabilistic graphical model approach to stochastic multiscale partial differential equations ⋮ Transdimensional sequential Monte Carlo using variational Bayes -- SMCVB ⋮ A Survey of Sequential Monte Carlo Methods for Economics and Finance ⋮ Free energy computations by minimization of Kullback-Leibler divergence: An efficient adaptive biasing potential method for sparse representations ⋮ Parallel hierarchical sampling: a general-purpose interacting Markov chains Monte Carlo algorithm ⋮ Sequentially adaptive Bayesian learning algorithms for inference and optimization ⋮ Identifying the recurrence of sleep apnea using a harmonic hidden Markov model ⋮ Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area ⋮ On parallel implementation of sequential Monte Carlo methods: the island particle model ⋮ Optimisation of interacting particle systems for rare event estimation ⋮ Estimating and Projecting Trends in HIV/AIDS Generalized Epidemics Using Incremental Mixture Importance Sampling

Uses Software

• AMCMC
• STRUCTURE

Cites Work

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