Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter

Isambi Sailon Mbalawata; Simo Särkkä; Matti Vihola; Heikki Haario

doi:10.1016/j.csda.2014.10.006

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Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter

Isambi Sailon Mbalawata Simo Särkkä Matti Vihola Heikki Haario

Year: 2014 Journal: Computational Statistics & Data Analysis Vol: 83 Pages: 101-115 Publisher: Elsevier BV

DOI: 10.1016/j.csda.2014.10.006

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Keywords:

Markov chain Monte Carlo Algorithm Metropolis–Hastings algorithm Kalman filter Bayesian probability Computer science Covariance Extended Kalman filter Ensemble Kalman filter Convergence (economics) Mathematical optimization Mathematics Artificial intelligence Statistics

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Markov Chains and Monte Carlo Methods

Physical Sciences → Mathematics → Statistics and Probability

Bayesian Methods and Mixture Models

Physical Sciences → Computer Science → Artificial Intelligence

Statistical Methods and Bayesian Inference

Physical Sciences → Mathematics → Statistics and Probability

Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter

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