Related papers: Particle Metropolis-Hastings using gradient and He…
Hamiltonian Monte Carlo (HMC) is a powerful Markov Chain Monte Carlo (MCMC) method for sampling from complex high-dimensional continuous distributions. However, in many situations it is necessary or desirable to combine HMC with other…
In the gravitational-wave analysis of pulsar-timing-array datasets, parameter estimation is usually performed using Markov Chain Monte Carlo methods to explore posterior probability densities. We introduce an alternative procedure that…
The Hawkes process is a widely used model in many areas, such as finance, seismology, neuroscience, epidemiology, and social sciences. Estimation of the Hawkes process from continuous observations of a sample path is relatively…
We propose sequential Monte Carlo based algorithms for maximum likelihood estimation of the static parameters in hidden Markov models with an intractable likelihood using ideas from approximate Bayesian computation. The static parameter…
Models of biological systems often have many unknown parameters that must be determined in order for model behavior to match experimental observations. Commonly-used methods for parameter estimation that return point estimates of the…
An important and often overlooked aspect of particle filtering methods is the estimation of unknown static parameters. A simple approach for addressing this problem is to augment the unknown static parameters as auxiliary states that are…
We introduce and demonstrate a new approach to inference in expressive probabilistic programming languages based on particle Markov chain Monte Carlo. Our approach is simple to implement and easy to parallelize. It applies to…
In the following article we develop a particle filter for approximating Feynman-Kac models with indicator potentials. Examples of such models include approximate Bayesian computation (ABC) posteriors associated with hidden Markov models…
We present a general framework for defining priors on model structure and sampling from the posterior using the Metropolis-Hastings algorithm. The key idea is that structure priors are defined via a probability tree and that the proposal…
Markov chain Monte Carlo (MCMC) methods are a powerful but computationally expensive way of performing non-parametric Bayesian inference. MCMC proposals which utilise gradients, such as Hamiltonian Monte Carlo (HMC), can better explore the…
The hybrid Monte Carlo (HMC) algorithm is applied for the Bayesian inference of the stochastic volatility (SV) model. We use the HMC algorithm for the Markov chain Monte Carlo updates of volatility variables of the SV model. First we…
State-space models have been used in many applications, including econometrics, engineering, medical research, etc. The maximum likelihood estimation (MLE) of the static parameter of general state-space models is not straightforward because…
We present an importance sampling algorithm that can produce realisations of Markovian epidemic models that exactly match observations, taken to be the number of a single event type over a period of time. The importance sampling can be used…
It is commonly admitted that non-reversible Markov chain Monte Carlo (MCMC) algorithms usually yield more accurate MCMC estimators than their reversible counterparts. In this note, we show that in addition to their variance reduction…
We present several implementations of the Metropolis method, an adaptive Monte Carlo algorithm, which allow for the calculation of multi-dimensional integrals over arbitrary on-shell four-momentum phase space. The Metropolis technique…
Simulating the evolution of the local universe is important for studying galaxies and the intergalactic medium in a way free of cosmic variance. Here we present a method to reconstruct the initial linear density field from an input…
Particle filtering methods are widely applied in sequential state estimation within nonlinear non-Gaussian state space model. However, the traditional particle filtering methods suffer the weight degeneracy in the high-dimensional state…
We analyse computational efficiency of Metropolis-Hastings algorithms with AR(1) process proposals. These proposals include, as a subclass, discretized Langevin diffusion (e.g. MALA) and discretized Hamiltonian dynamics (e.g. HMC). By…
This work develops a powerful and versatile framework for determining acceptance ratios in Metropolis-Hastings type Markov kernels widely used in statistical sampling problems. Our approach allows us to derive new classes of kernels which…
In the present paper we propose a new MCMC algorithm for sampling from the posterior distribution of hidden trajectory of a Markov jump process. Our algorithm is based on the idea of exploiting virtual jumps, introduced by Rao and Teh…