Ensemble MCMC: accelerating pseudo-marginal MCMC for state space models using the ensemble Kalman filter

DOI10.1214/20-ba1251arXiv1906.02014OpenAlexW3102466902MaRDI QIDQ6121617

Richard G. Everitt, Andrew Golightly, Christopher C. Drovandi, Dennis Prangle

Publication date: 27 February 2024

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.02014

zbMATH Keywords

state space modelsdata assimilationparticle filterparticle MCMCensemble Kalman filterpseudo-marginal MCMC

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Reduced-order autodifferentiable ensemble Kalman filters ⋮ Automatically adapting the number of state particles in \(\text{SMC}^2\)

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