Coupled conditional backward sampling particle filter
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Publication:2215773
DOI10.1214/19-AOS1922zbMath1469.65014arXiv1806.05852OpenAlexW3088532215WikidataQ109746493 ScholiaQ109746493MaRDI QIDQ2215773
Anthony J. T. Lee, Sumeetpal S. Singh, Matti Vihola
Publication date: 14 December 2020
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1806.05852
Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Stochastic particle methods (65C35)
Related Items (9)
Unbiased estimation of the gradient of the log-likelihood for a class of continuous-time state-space models ⋮ Unbiased approximation of posteriors via coupled particle Markov chain Monte Carlo ⋮ Unbiased Markov chain Monte Carlo for intractable target distributions ⋮ Conditional sequential Monte Carlo in high dimensions ⋮ Variance estimation for sequential Monte Carlo algorithms: a backward sampling approach ⋮ Particle rolling MCMC with double-block sampling ⋮ Conditional particle filters with diffuse initial distributions ⋮ Spatiotemporal blocking of the bouncy particle sampler for efficient inference in state-space models ⋮ Central limit theorems for coupled particle filters
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