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  • Search: subject:"Particle Gibbs sampler"
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Particle Gibbs sampler 1 Particle MCMC 1 Piecewise deterministic processes 1 Sequential Monte Carlo 1
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Finke, Axel 1 Johansen, Adam 1 Spanò, Dario 1
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Annals of the Institute of Statistical Mathematics 1
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Static-parameter estimation in piecewise deterministic processes using particle Gibbs samplers
Finke, Axel; Johansen, Adam; Spanò, Dario - In: Annals of the Institute of Statistical Mathematics 66 (2014) 3, pp. 577-609
We develop particle Gibbs samplers for static-parameter estimation in discretely observed piecewise deterministic process (PDPs). PDPs are stochastic processes that jump randomly at a countable number of stopping times but otherwise evolve deterministically in continuous time. A sequential Monte...
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