Related papers: Easily Computed Marginal Likelihoods for Multivari…

We consider Metropolis Hastings MCMC in cases where the log of the ratio of target distributions is replaced by an estimator. The estimator is based on m samples from an independent online Monte Carlo simulation. Under some conditions on…

Hidden semi-Markov models (HSMMs) are latent variable models which allow latent state persistence and can be viewed as a generalization of the popular hidden Markov models (HMMs). In this paper, we introduce a novel spectral algorithm to…

This paper presents a method of unsupervised learning of harmonic analysis based on a hidden semi-Markov model (HSMM). We introduce the chord quality templates, which specify the probability of pitch class emissions given a root note and a…

Markov chain Monte Carlo (MCMC) methods asymptotically sample from complex probability distributions. The pseudo-marginal MCMC framework only requires an unbiased estimator of the unnormalized probability distribution function to construct…

We consider the problem of estimating the missing mass, partition function or evidence and its probability distribution in the case that for each sample point in the discrete sample space its (unnormalized) probability mass is revealed.…

Markov chain Monte Carlo (MCMC) algorithms for hidden Markov models often rely on the forward-backward sampler. This makes them computationally slow as the length of the time series increases, motivating the development of…

Nested integration problems arise in various scientific and engineering applications, including Bayesian experimental design, financial risk assessment, and uncertainty quantification. These nested integrals take the form $\int f\left(\int…

We estimate a general mixture of Markov jump processes. The key novel feature of the proposed mixture is that the transition intensity matrices of the Markov processes comprising the mixture are entirely unconstrained. The Markov processes…

In this paper we study asymptotic properties of different data-augmentation-type Markov chain Monte Carlo algorithms sampling from mixture models comprising discrete as well as continuous random variables. Of particular interest to us is…

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…

Exponential random graph models are extremely difficult models to handle from a statistical viewpoint, since their normalising constant, which depends on model parameters, is available only in very trivial cases. We show how inference can…

Hidden Markov Models (HMMs) can be accurately approximated using co-occurrence frequencies of pairs and triples of observations by using a fast spectral method in contrast to the usual slow methods like EM or Gibbs sampling. We provide a…

We propose a unified mixture sampler (UMS) that provides a universal estimation framework for nonlinear state-space models with "exp-exp" likelihood kernels. Unlike existing methods that require deriving new mixture approximations for each…

Monte Carlo experiments produce samples in order to estimate features of a given distribution. However, simultaneous estimation of means and quantiles has received little attention, despite being common practice. In this setting we…

In this paper, we propose a new stochastic optimization algorithm for Bayesian inference based on multilevel Monte Carlo (MLMC) methods. In Bayesian statistics, biased estimators of the model evidence have been often used as stochastic…

The hidden Markov model (HMM) is a generative model that treats sequential data under the assumption that each observation is conditioned on the state of a discrete hidden variable that evolves in time as a Markov chain. In this paper, we…

We introduce a new class of sequential Monte Carlo methods which reformulates the essence of the nested sampling method of Skilling (2006) in terms of sequential Monte Carlo techniques. Two new algorithms are proposed, nested sampling via…

Speeding up Markov Chain Monte Carlo (MCMC) for datasets with many observations by data subsampling has recently received considerable attention. A pseudo-marginal MCMC method is proposed that estimates the likelihood by data subsampling…

The Metropolis-Hastings (MH) algorithm is one of the most widely used Markov Chain Monte Carlo schemes for generating samples from Bayesian posterior distributions. The algorithm is asymptotically exact, flexible and easy to implement.…

We present an original simulation-based method to estimate likelihood ratios efficiently for general state-space models. Our method relies on a novel use of the conditional Sequential Monte Carlo (cSMC) algorithm introduced in…