Adaptive Sequential MCMC for Combined State and Parameter Estimation
In the case of a linear state space model, we implement an MCMC sampler with two phases. In the learning phase, a self-tuning sampler is used to learn the parameter mean and covariance structure. In the estimation phase, the parameter mean and covariance structure informs the proposed mechanism a...
| Main Authors: | , , |
|---|---|
| Format: | Journal Article |
| Published: |
2018
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/78086 |