Ensemble MCMC: Accelerating Pseudo-Marginal MCMC for State Space Models
using the Ensemble Kalman Filter

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Ensemble MCMC: Accelerating Pseudo-Marginal MCMC for State Space Models using the Ensemble Kalman Filter

5 June 2019

Christopher C. Drovandi

Andrew Golightly

ArXiv (abs)PDF HTML Github (7★)

Papers citing "Ensemble MCMC: Accelerating Pseudo-Marginal MCMC for State Space Models using the Ensemble Kalman Filter"

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Title
Ensemble Kalman inversion approximate Bayesian computation R. Everitt 56 0 0 26 Jul 2024
Reduced-Order Autodifferentiable Ensemble Kalman Filters Yuming Chen D. Sanz-Alonso Rebecca Willett 66 10 0 27 Jan 2023
Bayesian Identification of Nonseparable Hamiltonian Systems Using Stochastic Dynamic Models Harsh Sharma Nicholas Galioto Alex A. Gorodetsky Boris Kramer 60 3 0 15 Sep 2022
Automatically adapting the number of state particles in SMC $^2$ Imke Botha Robert Kohn Leah F. South Christopher C. Drovandi 66 1 0 27 Jan 2022
Efficient Multifidelity Likelihood-Free Bayesian Inference with Adaptive Computational Resource Allocation Thomas P. Prescott D. Warne R. Baker 48 7 0 22 Dec 2021
Auto-differentiable Ensemble Kalman Filters Yuming Chen D. Sanz-Alonso Rebecca Willett 108 36 0 16 Jul 2021
Log-Normalization Constant Estimation using the Ensemble Kalman-Bucy Filter with Application to High-Dimensional Models Dan Crisan P. Del Moral Ajay Jasra Hamza Ruzayqat 80 4 0 27 Jan 2021
Bayesian System ID: Optimal management of parameter, model, and measurement uncertainty Nicholas Galioto Alex Gorodetsky 58 32 0 04 Mar 2020