We present an extension of population-based Markov chain Monte Carlo to the transdimensional case. A major challenge is that of simulating from high- and transdimensional target measures. In such cases, Markov chain Monte Carlo methods may not adequately traverse the support of the target; the...

Sequential Monte Carlo (SMC) samplers [Del Moral, P., Doucet, A., Jasra, A., 2006. Sequential Monte Carlo samplers. J. Roy. Statist. Soc. B 68, 411-436] are designed to simulate from a sequence of probability measures on a common measurable space . One way to measure the accuracy of the...

The following article considers a mixture of regressions with variable selection problem. In many real-data scenarios, one is faced with data which possess outliers, skewness and, simultaneously, one would like to be able to construct clusters with specific predictors that are fairly sparse. A...

This paper presents a simulation-based framework for sequential inference from partially and discretely observed point process models with static parameters. Taking on a Bayesian perspective for the static parameters, we build upon sequential Monte Carlo methods, investigating the problems of...

We introduce an estimate for the likelihood of hidden Markov models (HMMs) using sequential Monte Carlo (SMC) approximations of the generalized two-filter smoothing decomposition (Briers et al., 2010). This estimate is unbiased and a central limit theorem (CLT) is established. The new estimate...

This article establishes sufficient conditions for a linear-in-time bound on the non-asymptotic variance for particle approximations of time-homogeneous Feynman–Kac formulae. These formulae appear in a wide variety of applications including option pricing in finance and risk sensitive control...

Let (Xn) be a Markov chain on measurable space with unique stationary distribution [pi]. Let be a measurable function with finite stationary mean . Ibragimov and Linnik [Ibragimov, I.A., Linnik, Y.V., 1971. Independent and Stationary Sequences of Random Variables. Wolter-Noordhoff, Groiningen]...