AdvancedPS.jl

Advanced sequential Monte Carlo and particle MCMC sampling library in Julia
Author TuringLang
Popularity
10 Stars
Updated Last
4 Months Ago
Started In
September 2019

AdvancedPS

Build Status Coverage Coverage

Reference

  1. Doucet, Arnaud, and Adam M. Johansen. "A tutorial on particle filtering and smoothing: Fifteen years later." Handbook of nonlinear filtering 12, no. 656-704 (2009): 3.

  2. Andrieu, Christophe, Arnaud Doucet, and Roman Holenstein. "Particle Markov chain Monte Carlo methods." Journal of the Royal Statistical Society: Series B (Statistical Methodology) 72, no. 3 (2010): 269-342.

  3. Tripuraneni, Nilesh, Shixiang Shane Gu, Hong Ge, and Zoubin Ghahramani. "Particle gibbs for infinite hidden Markov models." In Advances in Neural Information Processing Systems, pp. 2395-2403. 2015.

  4. Lindsten, Fredrik, Michael I. Jordan, and Thomas B. Schön. "Particle Gibbs with ancestor sampling." The Journal of Machine Learning Research 15, no. 1 (2014): 2145-2184.

  5. Pitt, Michael K., and Neil Shephard. "Filtering via simulation: Auxiliary particle filters." Journal of the American statistical association 94, no. 446 (1999): 590-599.

  6. Doucet, Arnaud, Nando de Freitas, and Neil Gordon. "Sequential Monte Carlo Methods in Practice."

  7. Del Moral, Pierre, Arnaud Doucet, and Ajay Jasra. "Sequential Monte Carlo samplers." Journal of the Royal Statistical Society: Series B (Statistical Methodology) 68, no. 3 (2006): 411-436.