Related papers: Parameter elimination in particle Gibbs sampling

Bayesian hierarchical modeling is a popular approach to capturing unobserved heterogeneity across individual units. However, standard estimation methods such as Markov chain Monte Carlo (MCMC) can be impracticable for modeling outcomes from…

Markov chain Monte Carlo sampling methods often suffer from long correlation times. Consequently, these methods must be run for many steps to generate an independent sample. In this paper a method is proposed to overcome this difficulty.…

We introduce a generalised micro-macro Markov chain Monte Carlo (mM-MCMC) method with pseudo-marginal approximation to the free energy, that is able to accelerate sampling of the microscopic Gibbs distributions when there is a time-scale…

We propose an efficient Bayesian MCMC algorithm for estimating cosmological parameters from CMB data without use of likelihood approximations. It builds on a previously developed Gibbs sampling framework that allows for exploration of the…

We deal with Bayesian inference for Beta autoregressive processes. We restrict our attention to the class of conditionally linear processes. These processes are particularly suitable for forecasting purposes, but are difficult to estimate…

In this paper we consider Bayesian parameter inference for partially observed fractional Brownian motion (fBM) models. The approach we follow is to time-discretize the hidden process and then to design Markov chain Monte Carlo (MCMC)…

Bayesian inference under a set of priors, called robust Bayesian analysis, allows for estimation of parameters within a model and quantification of epistemic uncertainty in quantities of interest by bounded (or imprecise) probability.…

We present a Bayesian scheme for the approximate diagonalisation of several square matrices which are not necessarily symmetric. A Gibbs sampler is derived to simulate samples of the common eigenvectors and the eigenvalues for these…

Statisticians often use Monte Carlo methods to approximate probability distributions, primarily with Markov chain Monte Carlo and importance sampling. Sequential Monte Carlo samplers are a class of algorithms that combine both techniques to…

We present a new Monte Carlo Markov Chain algorithm for CMB analysis in the low signal-to-noise regime. This method builds on and complements the previously described CMB Gibbs sampler, and effectively solves the low signal-to-noise…

We propose a Markov Chain Monte Carlo (MCMC) algorithm based on Gibbs sampling with parallel tempering to solve nonlinear optimal control problems. The algorithm is applicable to nonlinear systems with dynamics that can be approximately…

This article addresses the problem of efficient Bayesian inference in dynamic systems using particle methods and makes a number of contributions. First, we develop a correlated pseudo-marginal (CPM) approach for Bayesian inference in state…

State-space models are commonly used to describe different forms of ecological data. We consider the case of count data with observation errors. For such data the system process is typically multi-dimensional consisting of coupled Markov…

Bayesian classification and regression with high order interactions is largely infeasible because Markov chain Monte Carlo (MCMC) would need to be applied with a great many parameters, whose number increases rapidly with the order. In this…

We here consider the subset simulation method which approaches a failure event using a decreasing sequence of nested intermediate failure events. The method resembles importance sampling, which actively explores a probability space by…

Filtering---estimating the state of a partially observable Markov process from a sequence of observations---is one of the most widely studied problems in control theory, AI, and computational statistics. Exact computation of the posterior…

Approximate Bayesian computation (ABC) methods can be used to sample from posterior distributions when the likelihood function is unavailable or intractable, as is often the case in biological systems. ABC methods suffer from inefficient…

Bayesian mixture models are widely applied for unsupervised learning and exploratory data analysis. Markov chain Monte Carlo based on Gibbs sampling and split-merge moves are widely used for inference in these models. However, both methods…

Estimating model parameters of a general family of cure models is always a challenging task mainly due to flatness and multimodality of the likelihood function. In this work, we propose a fully Bayesian approach in order to overcome these…

A central task in many applications is reasoning about processes that change over continuous time. Continuous-Time Bayesian Networks is a general compact representation language for multi-component continuous-time processes. However, exact…