Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter
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DOI: 10.1016/j.csda.2014.10.006
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References listed on IDEAS
- Roberts, G. O. & Gilks, W. R., 1994. "Convergence of Adaptive Direction Sampling," Journal of Multivariate Analysis, Elsevier, vol. 49(2), pages 287-298, May.
- Vihola, Matti, 2011. "On the stability and ergodicity of adaptive scaling Metropolis algorithms," Stochastic Processes and their Applications, Elsevier, vol. 121(12), pages 2839-2860.
- David G. Luenberger & Yinyu Ye, 2008. "Linear and Nonlinear Programming," International Series in Operations Research and Management Science, Springer, edition 0, number 978-0-387-74503-9, April.
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- Kang, Kai & Maroulas, Vasileios & Schizas, Ioannis & Bao, Feng, 2018. "Improved distributed particle filters for tracking in a wireless sensor network," Computational Statistics & Data Analysis, Elsevier, vol. 117(C), pages 90-108.
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Keywords
Markov chain Monte Carlo; Adaptive Metropolis algorithm; Adaptive Kalman filter; Variational Bayes;All these keywords.
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