Related papers: Chebyshev Particles
Inference after model selection presents computational challenges when dealing with intractable conditional distributions. Markov chain Monte Carlo (MCMC) is a common method for sampling from these distributions, but its slow convergence…
In statistical analysis, Monte Carlo (MC) stands as a classical numerical integration method. When encountering challenging sample problem, Markov chain Monte Carlo (MCMC) is a commonly employed method. However, the MCMC estimator is biased…
Markov chain Monte Carlo (MCMC) algorithms provide a very general recipe for estimating properties of complicated distributions. While their use has become commonplace and there is a large literature on MCMC theory and practice, MCMC users…
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…
Particle Markov Chain Monte Carlo methods are used to carry out inference in non-linear and non-Gaussian state space models, where the posterior density of the states is approximated using particles. Current approaches usually perform…
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…
Advances in digital sensors, digital data storage and communications have resulted in systems being capable of accumulating large collections of data. In the light of dealing with the challenges that massive data present, this work proposes…
We apply Markov Chain Monte Carlo (MCMC) to the problem of parametric galaxy modeling, estimating posterior distributions of galaxy properties such as ellipticity and brightness for more than 100,000 images of galaxies taken from DC2, a…
We develop a modular approach to Markov chain Monte Carlo (MCMC) sampling for unnormalized target densities. In this approach, Markov chains are constructed in parallel, each constrained to a subset of the target space. The Monte Carlo…
Bayesian inference in state-space models is challenging due to high-dimensional state trajectories. A viable approach is particle Markov chain Monte Carlo, combining MCMC and sequential Monte Carlo to form "exact approximations" to…
We propose a multilevel Markov chain Monte Carlo (MCMC) method for the Bayesian inference of random field parameters in PDEs using high-resolution data. Compared to existing multilevel MCMC methods, we additionally consider level-dependent…
We present a novel Bayesian inference tool that uses a neural network to parameterise efficient Markov Chain Monte-Carlo (MCMC) proposals. The target distribution is first transformed into a diagonal, unit variance Gaussian by a series of…
Evaluating the degree of partisan districting (Gerrymandering) in a statistical framework typically requires an ensemble of districting plans which are drawn from a prescribed probability distribution that adheres to a realistic and…
Recent developments in big data and analytics research have produced an abundance of large data sets that are too big to be analyzed in their entirety, due to limits on computer memory or storage capacity. To address these issues,…
In this paper we build on previous work which uses inferences techniques, in particular Markov Chain Monte Carlo (MCMC) methods, to solve parameterized control problems. We propose a number of modifications in order to make this approach…
The particle Gibbs sampler is a Markov chain Monte Carlo (MCMC) algorithm to sample from the full posterior distribution of a state-space model. It does so by executing Gibbs sampling steps on an extended target distribution defined on the…
An efficient simulation-based methodology is proposed for the rolling window estimation of state space models, called particle rolling Markov chain Monte Carlo (MCMC) with double block sampling. In our method, which is based on Sequential…
High-dimensional distributions, especially those with heavy tails, are notoriously difficult for off-the-shelf MCMC samplers: the combination of unbounded state spaces, diminishing gradient information, and local moves results in…
Recently there have been exciting developments in Monte Carlo methods, with the development of new MCMC and sequential Monte Carlo (SMC) algorithms which are based on continuous-time, rather than discrete-time, Markov processes. This has…
Markov chain Monte Carlo (MCMC) is a powerful tool for sampling from complex probability distributions. Despite its versatility, MCMC often suffers from strong autocorrelation and the negative sign problem, leading to slowing down the…