Variance Estimation in Adaptive Sequential Monte Carlo

22 Aug 2020 Du Qiming Guyader Arnaud

Sequential Monte Carlo (SMC) methods represent a classical set of techniques to simulate a sequence of probability measures through a simple selection/mutation mechanism. However, the associated selection functions and mutation kernels usually depend on tuning parameters that are of first importance for the efficiency of the algorithm... (read more)

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  • STATISTICS THEORY
  • PROBABILITY
  • COMPUTATION
  • STATISTICS THEORY