Adaptive Sequential MCMC for Combined State and Parameter Estimation

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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...

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Bibliographic Details
Main Authors:	Cao, Zhanglong, Bryant, David, Parry, Matthew
Format:	Journal Article
Published:	2018
Subjects:	stat.AP
Online Access:	http://hdl.handle.net/20.500.11937/78086

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