Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator
From MaRDI portal
Publication:5258423
DOI10.1093/biomet/asu075zbMath1452.62055arXiv1210.1871OpenAlexW2123726866MaRDI QIDQ5258423
Michael K. Pitt, George Deligiannidis, Robert Kohn, Arnaud Doucet
Publication date: 26 June 2015
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.1871
Metropolis-Hastings algorithmstate-space modelsequential Monte Carloparticle filterintractable likelihood
Computational methods in Markov chains (60J22) Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)
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