Particle approximations of the score and observed information matrix for
parameter estimation in state space models with linear computational cost

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Particle approximations of the score and observed information matrix for parameter estimation in state space models with linear computational cost

4 June 2013

Christopher Nemeth

Lyudmila Mihaylova

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Papers citing "Particle approximations of the score and observed information matrix for parameter estimation in state space models with linear computational cost"

14 / 14 papers shown

Title
Recursive variational Gaussian approximation with the Whittle likelihood for linear non-Gaussian state space models Bao Anh Vu David Gunawan Andrew Zammit-Mangion 66 1 0 23 Jun 2024
R-VGAL: A Sequential Variational Bayes Algorithm for Generalised Linear Mixed Models Bao Anh Vu David Gunawan A. Zammit‐Mangion DRL 55 1 0 01 Jun 2023
Nonlinear System Identification: Learning while respecting physical models using a sequential Monte Carlo method A. Wigren Johan Wågberg Fredrik Lindsten A. Wills Thomas B. Schon 50 11 0 26 Oct 2022
Efficient Learning of the Parameters of Non-Linear Models using Differentiable Resampling in Particle Filters Conor Rosato Vincent Beraud P. Horridge Thomas B. Schon Simon Maskell 82 14 0 02 Nov 2021
Augmented pseudo-marginal Metropolis-Hastings for partially observed diffusion processes Andrew Golightly Chris Sherlock 65 3 0 11 Sep 2020
Stochastic Gradient MCMC for Nonlinear State Space Models Christopher Aicher Srshti Putcha Christopher Nemeth Paul Fearnhead E. Fox BDL 66 8 0 29 Jan 2019
Regularized Zero-Variance Control Variates Leah F. South Chris J. Oates Antonietta Mira Christopher C. Drovandi BDL 133 19 0 13 Nov 2018
Simulation-based inference methods for partially observed Markov model via the R package is2 Bernhard Bergmair Johann Hoffelner Siegfried Silber 122 0 0 07 Nov 2018
Particle Filters and Data Assimilation Paul Fearnhead H. Kunsch 83 82 0 13 Sep 2017
A Common Derivation for Markov Chain Monte Carlo Algorithms with Tractable and Intractable Targets K. Tran BDL 71 2 0 07 Jul 2016
On Particle Methods for Parameter Estimation in State-Space Models N. Kantas Arnaud Doucet Sumeetpal S. Singh J. Maciejowski Nicolas Chopin 128 436 0 30 Dec 2014
Particle Metropolis-adjusted Langevin algorithms Christopher Nemeth Chris Sherlock Paul Fearnhead 127 24 0 23 Dec 2014
Particle Metropolis adjusted Langevin algorithms for state space models Christopher Nemeth Paul Fearnhead 126 19 0 04 Feb 2014
Particle Metropolis-Hastings using gradient and Hessian information J. Dahlin Fredrik Lindsten Thomas B. Schon 166 47 0 04 Nov 2013