Adaptive sequential Monte Carlo by means of mixture of experts
DOI10.1007/S11222-012-9372-2zbMath1325.62151arXiv1108.2836OpenAlexW1978093868MaRDI QIDQ892475
Julien Cornebise, Jimmy Olsson, Eric Moulines
Publication date: 19 November 2015
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1108.2836
adaptive algorithmsKullback-Leibler divergencesequential Monte CarloShannon entropyparticle filtercoefficient of variationexpectation-maximisationoptimal proposal kernel
Computational methods in Markov chains (60J22) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Sequential statistical analysis (62L10) Statistical aspects of information-theoretic topics (62B10)
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