Chopin, Nicolas; Jacob, Pierre E.; Papaspiliopoulos, Omiros - Université Paris-Dauphine (Paris IX) - 2013
sampling (IBIS) algorithm of Chopin (2002). This is a sequential Monte Carlo algorithm in the theta-dimension, that samples … theta. This motivates the SMC^2 algorithm proposed in this article: a sequential Monte Carlo algorithm, defined in the theta … the random weight particle filter as in Fearnhead et al. (2010). On the other hand, the particle Markov chain Monte Carlo …