Related papers: Limit theorems for weighted samples with applicati…

We investigate the prevalence of sample repetition in a Sequential Monte Carlo (SMC) method recently introduced for political redistricting.

We derive and study SQMC (Sequential Quasi-Monte Carlo), a class of algorithms obtained by introducing QMC point sets in particle filtering. SQMC is related to, and may be seen as an extension of, the array-RQMC algorithm of L'Ecuyer et al.…

We present a sequential Monte Carlo sampler algorithm for the Bayesian analysis of generalised linear mixed models (GLMMs). These models support a variety of interesting regression-type analyses, but performing inference is often extremely…

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…

A resampling scheme provides a way to switch low-weight particles for sequential Monte Carlo with higher-weight particles representing the objective distribution. The less the variance of the weight distribution is, the more concentrated…

Markov Chain Monte Carlo (MCMC) methods are employed to sample from a given distribution of interest, whenever either the distribution does not exist in closed form, or, if it does, no efficient method to simulate an independent sample from…

Orthogonal Monte Carlo (OMC) is a very effective sampling algorithm imposing structural geometric conditions (orthogonality) on samples for variance reduction. Due to its simplicity and superior performance as compared to its Quasi Monte…

Modern macroeconometrics often relies on time series models for which it is time-consuming to evaluate the likelihood function. We demonstrate how Bayesian computations for such models can be drastically accelerated by reweighting and…

Sampling from complicated probability distributions is a hard computational problem arising in many fields, including statistical physics, optimization, and machine learning. Quantum computers have recently been used to sample from…

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…

The need to calibrate increasingly complex statistical models requires a persistent effort for further advances on available, computationally intensive Monte Carlo methods. We study here an advanced version of familiar Markov Chain Monte…

In the following article we provide an exposition of exact computational methods to perform parameter inference from partially observed network models. In particular, we consider the duplication attachment (DA) model which has a likelihood…

We present bounds for the finite sample error of sequential Monte Carlo samplers on static spaces. Our approach explicitly relates the performance of the algorithm to properties of the chosen sequence of distributions and mixing properties…

Adaptive importance sampling (AIS) methods are increasingly used for the approximation of distributions and related intractable integrals in the context of Bayesian inference. Population Monte Carlo (PMC) algorithms are a subclass of AIS…

We provide a comprehensive characterisation of the theoretical properties of the divide-and-conquer sequential Monte Carlo (DaC-SMC) algorithm. We firmly establish it as a well-founded method by showing that it possesses the same basic…

Bayesian data analysis is widely used across many disciplines, and representative examples in materials science include spectral analysis and sparse modeling. In such applications, the underlying models often become complex and yield…

In this paper we consider fully Bayesian inference in general state space models. Existing particle Markov chain Monte Carlo (MCMC) algorithms use an augmented model that takes into account all the variable sampled in a sequential Monte…

We consider the problem of estimating expectations with respect to a target distribution with an unknown normalizing constant, and where even the unnormalized target needs to be approximated at finite resolution. Under such an assumption,…

Markov chain Monte Carlo (MCMC) algorithms are used to estimate features of interest of a distribution. The Monte Carlo error in estimation has an asymptotic normal distribution whose multivariate nature has so far been ignored in the MCMC…

Sequential Monte Carlo methods are a powerful framework for approximating the posterior distribution of a state variable in a sequential manner. They provide an attractive way of analyzing dynamic systems in real-time, taking into account…