Sampling Latent States for High-Dimensional Non-Linear State Space Models with the Embedded HMM Method
نویسندگان
چکیده
منابع مشابه
Sampling latent states for high-dimensional non-linear state space models with the embedded HMM method
We propose a new scheme for selecting pool states for the embedded Hidden Markov Model (HMM) Markov Chain Monte Carlo (MCMC) method. This new scheme allows the embedded HMM method to be used for efficient sampling in state space models where the state can be high-dimensional. Previously, embedded HMM methods were only applied to models with a one-dimensional state space. We demonstrate that usi...
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ژورنال
عنوان ژورنال: Bayesian Analysis
سال: 2018
ISSN: 1936-0975
DOI: 10.1214/17-ba1077