Conditional sequential Monte Carlo in high dimensions

The iterated conditional sequential Monte Carlo (i-CSMC) algorithm from Andrieu, Doucet and Holenstein (2010) is an MCMC approach for efficiently sampling from the joint posterior distribution of the T latent states in challenging time-series models, e.g. in non-linear or non-Gaussian statespace mod...

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Bibliographic Details
Main Authors: Axel Finke, Alexandre H Thiery
Format: Default Article
Published: 2023
Subjects:
Econometrics
Applied mathematics
Statistics
Statistics & Probability
high dimensions
curse of dimension
Markov chain Monte Carlo
particle filter
state-space model
Online Access:https://hdl.handle.net/2134/21922761.v1
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