MCMC for non-Linear State Space Models Using Ensembles of Latent Sequences

@inproceedings{Shestopaloff2013MCMCFN,
  title={MCMC for non-Linear State Space Models Using Ensembles of Latent Sequences},
  author={Alexander Y. Shestopaloff and Radford M. Neal},
  year={2013}
}
  • Alexander Y. Shestopaloff, Radford M. Neal
  • Published 2013
  • Mathematics
  • inference problem that has no straightforward solution. We take a Bayesian approach to the inference of unknown parameters of a non-linear state model; this, in turn, requires the availability of ecient Markov Chain Monte Carlo (MCMC) sampling methods for the latent (hidden) variables and model parameters. Using the ensemble technique of Neal (2010) and the embedded HMM technique of Neal (2003), we introduce a new Markov Chain Monte Carlo method for non-linear state space models. The key idea… CONTINUE READING

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