SEQUENTIALLY INTERACTING MARKOV CHAIN MONTE CARLO METHODS

Sequential Monte Carlo (SMC) is a methodology for sampling approximately from a sequence of probability distributions of increasing dimension and estimating their normalizing constants. We propose here an alternative methodology named Sequentially Interacting Markov Chain Monte Carlo (SIMCMC). SIMCM...

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Bibliographic Details
Main Authors: Brockwell, A, Del Moral, P, Doucet, A
Format: Journal article
Language:English
Published: 2010