Related papers: MCMC for non-linear state space models using ensem…

Mixture models provide a flexible representation of heterogeneity in a finite number of latent classes. From the Bayesian point of view, Markov Chain Monte Carlo methods provide a way to draw inferences from these models. In particular,…

Markov Chain Monte Carlo (MCMC) is a powerful method for drawing samples from non-standard probability distributions and is utilized across many fields and disciplines. Methods such as Metropolis-Adjusted Langevin (MALA) and Hamiltonian…

Particle MCMC is a class of algorithms that can be used to analyse state-space models. They use MCMC moves to update the parameters of the models, and particle filters to propose values for the path of the state-space model. Currently the…

Prominent features of simulated moving bed (SMB) chromatography processes in the downstream processing is based on the determination of operating conditions. However, effects of different types of uncertainties have to be studied and…

State-space models have been widely used to model the dynamics of communicable diseases in populations of interest by fitting to time-series data. Particle filters have enabled these models to incorporate stochasticity and so can better…

Performing numerical integration when the integrand itself cannot be evaluated point-wise is a challenging task that arises in statistical analysis, notably in Bayesian inference for models with intractable likelihood functions. Markov…

We propose a multivariate GARCH model for non-stationary health time series by modifying the variance of the observations of the standard state space model. The proposed model provides an intuitive way of dealing with heteroskedastic data…

We introduce a framework for inference in general state-space hidden Markov models (HMMs) under likelihood misspecification. In particular, we leverage the loss-theoretic perspective of Generalized Bayesian Inference (GBI) to define…

Bayesian computation crucially relies on Markov chain Monte Carlo (MCMC) algorithms. In the case of massive data sets, running the Metropolis-Hastings sampler to draw from the posterior distribution becomes prohibitive due to the large…

We develop clustering procedures for longitudinal trajectories based on a continuous-time hidden Markov model (CTHMM) and a generalized linear observation model. Specifically in this paper, we carry out finite and infinite mixture…

Motivated by the problem of exploring discrete but very complex state spaces in Bayesian models, we propose a novel Markov Chain Monte Carlo search algorithm: the taxicab sampler. We describe the construction of this sampler and discuss how…

nimble is an R package for constructing algorithms and conducting inference on hierarchical models. The nimble package provides a unique combination of flexible model specification and the ability to program model-generic algorithms.…

Many inference problems involve inferring the number $N$ of components in some region, along with their properties $\{\mathbf{x}_i\}_{i=1}^N$, from a dataset $\mathcal{D}$. A common statistical example is finite mixture modelling. In the…

We introduce a stable, well tested Python implementation of the affine-invariant ensemble sampler for Markov chain Monte Carlo (MCMC) proposed by Goodman & Weare (2010). The code is open source and has already been used in several published…

Markov Chain Monte Carlo (MCMC) techniques are now widely used for cosmological parameter estimation. Chains are generated to sample the posterior probability distribution obtained following the Bayesian approach. An important issue is how…

In this article we focus on dynamic network data which describe interactions among a fixed population through time. We model this data using the latent space framework, in which the probability of a connection forming is expressed as a…

Quasi-Monte Carlo (QMC) methods for estimating integrals are attractive since the resulting estimators typically converge at a faster rate than pseudo-random Monte Carlo. However, they can be difficult to set up on arbitrary posterior…

Sequential Monte Carlo (SMC) algorithms represent a suite of robust computational methodologies utilized for state estimation and parameter inference within dynamical systems, particularly in real-time or online environments where data…

Sequential Monte Carlo (SMC) methods offer a principled approach to Bayesian uncertainty quantification but are traditionally limited by the need for full-batch gradient evaluations. We introduce a scalable variant by incorporating…

A central statistical problem in population genetics is to infer evolutionary and biological parameters such as the strength of natural selection and allele age from DNA samples extracted from a contemporary population. That all samples…