An Introduction to Sequential Monte Carlo. (2020)

• Record Type: Book
• Further Information: Note: By Nicolas Chopin, Omiros Papaspiliopoulos.
• Authors: Papaspiliopoulos, Omiros
• Other Names: Chopin, Nicolas
• Contents: 1 Preface -- 2 Introduction to state-space models -- 3 Beyond state-space models -- 4 Introduction to Markov processes -- 5 Feynman-Kac models: definition, properties and recursions -- 6 Finite state-spaces and hidden Markov models -- 7 Linear-Gaussian state-space models -- 8 Importance sampling -- 9 Importance resampling -- 10 Particle filtering -- 11 Convergence and stability of particle filters -- 12 Particle smoothing -- 13 Sequential quasi-Monte Carlo -- 14 Maximum likelihood estimation of state-space models -- 15 Markov chain Monte Carlo -- 16 Bayesian estimation of state-space models and particle MCMC -- 17 SMC samplers -- 18 SMC2, sequential inference in state-space models -- 19 Advanced topics and open problems.
• Publisher Details: Cham : Springer International Publishing Imprint: Springer
• Publication Date: 2020
• Extent: 1 online resource
• Subjects: 519.5; Statistics; Big data; Sociophysics; Econophysics
• Languages: English
• ISBNs: 9783030478452; 3030478459
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.