Nested particle filters for online parameter estimation in discrete-time state-space Markov models

8 August 2013

Papers citing "Nested particle filters for online parameter estimation in discrete-time state-space Markov models"

30 / 30 papers shown

Title
When Counterfactual Reasoning Fails: Chaos and Real-World Complexity Yahya Aalaila Gerrit Großmann Sumantrak Mukherjee Jonas Wahl Sebastian Vollmer CML LRM 64 0 0 31 Mar 2025
Nudging state-space models for Bayesian filtering under misspecified dynamics Fabian Gonzalez O. Deniz Akyildiz Dan Crisan Joaquín Míguez 44 0 0 31 Oct 2024
A dimension reduction approach for loss valuation in credit risk modelling Jian He Asma Khedher Peter Spreij 13 0 0 29 Dec 2023
Learning Differentiable Particle Filter on the Fly Jiaxi Li Xiongjie Chen Yunpeng Li 31 1 0 10 Dec 2023
Deep State-Space Model for Predicting Cryptocurrency Price Shalini Sharma A. Majumdar Émilie Chouzenoux Victor Elvira 28 0 0 21 Nov 2023
Sparse Graphical Linear Dynamical Systems Émilie Chouzenoux Victor Elvira 36 7 0 06 Jul 2023
An overview of differentiable particle filters for data-adaptive sequential Bayesian inference Xiongjie Chen Yunpeng Li 33 14 0 19 Feb 2023
Sequential Bayesian Learning for Hidden Semi-Markov Models Patrick Aschermayr K. Kalogeropoulos 21 0 0 25 Jan 2023
Tensor-train methods for sequential state and parameter learning in state-space models Yiran Zhao Tiangang Cui 24 2 0 24 Jan 2023
Factored Conditional Filtering: Tracking States and Estimating Parameters in High-Dimensional Spaces Dawei Chen Samuel Yang-Zhao John Lloyd K. S. Ng AI4TS 4 1 0 05 Jun 2022
Nested smoothing algorithms for inference and tracking of heterogeneous multi-scale state-space systems Sara Pérez-Vieites H. Molina-Bulla Joaquín Míguez 19 0 0 16 Apr 2022
Automatically adapting the number of state particles in SMC $^2$ Imke Botha Robert Kohn Leah F. South Christopher C. Drovandi 15 1 0 27 Jan 2022
Optimality in Noisy Importance Sampling F. Llorente Luca Martino Jesse Read D. Delgado 43 5 0 07 Jan 2022
Efficient Learning of the Parameters of Non-Linear Models using Differentiable Resampling in Particle Filters Conor Rosato Vincent Beraud P. Horridge Thomas B. Schon Simon Maskell 18 14 0 02 Nov 2021
Nested Gaussian filters for recursive Bayesian inference and nonlinear tracking in state space models Sara Pérez-Vieites Joaquín Míguez 11 9 0 23 Mar 2021
A Global Stochastic Optimization Particle Filter Algorithm Mathieu Gerber Randal Douc 9 2 0 09 Jul 2020
Cluster Prediction for Opinion Dynamics from Partial Observations Zehong Zhang Fei Lu 25 3 0 04 Jul 2020
On the performance of particle filters with adaptive number of particles Victor Elvira Joaquín Míguez Petar M. Djurić 17 1 0 04 Nov 2019
Combined parameter and state inference with automatically calibrated ABC Anthony Ebert Pierre Pudlo Kerrie Mengersen P. Wu Christopher C. Drovandi 25 1 0 31 Oct 2019
A Kalman particle filter for online parameter estimation with applications to affine models Jian He Asma Khedher Peter Spreij 16 6 0 21 May 2019
Parallel sequential Monte Carlo for stochastic gradient-free nonconvex optimization Ömer Deniz Akyildiz Dan Crisan Joaquín Míguez 31 5 0 23 Nov 2018
Nudging the particle filter Ömer Deniz Akyıldız Joaquín Míguez 32 26 0 25 Aug 2017
A probabilistic scheme for joint parameter estimation and state prediction in complex dynamical systems Sara Pérez-Vieites I. P. Mariño Joaquín Míguez 24 16 0 11 Aug 2017
Inference via low-dimensional couplings Alessio Spantini Daniele Bigoni Youssef Marzouk 40 119 0 17 Mar 2017
Analysis of a nonlinear importance sampling scheme for Bayesian parameter estimation in state-space models Joaquín Míguez I. P. Mariño M. A. Vázquez 10 11 0 10 Feb 2017
High-dimensional Filtering using Nested Sequential Monte Carlo C. A. Naesseth Fredrik Lindsten Thomas B. Schon 37 22 0 29 Dec 2016
A rare event approach to high dimensional Approximate Bayesian computation D. Prangle R. Everitt T. Kypraios 23 22 0 08 Nov 2016
Uniform convergence over time of a nested particle filtering scheme for recursive parameter estimation in state--space Markov models Dan Crisan Joaquín Míguez 15 12 0 30 Mar 2016
Adapting the Number of Particles in Sequential Monte Carlo Methods through an Online Scheme for Convergence Assessment Victor Elvira Joaquín Míguez Petar M. Djurić 13 70 0 16 Sep 2015
Biased Online Parameter Inference for State-Space Models Yan Zhou Ajay Jasra 43 9 0 01 Mar 2015