The Library
Sequential Monte Carlo with transformations
Tools
Everitt, Richard G., Culliford, Richard, Medina-Aguayo, Felipe and Wilson, Daniel J. (2020) Sequential Monte Carlo with transformations. Statistics and Computing, 30 . pp. 663-676. doi:10.1007/s11222-019-09903-y ISSN 0960-3174.
|
PDF
WRAP-sequential-Monte-carlo-transformations-Everitt-2019.pdf - Published Version - Requires a PDF viewer. Available under License Creative Commons Attribution 4.0. Download (997Kb) | Preview |
|
PDF
WRAP-sequential-monte-carlo-transformations-Everitt-2019.pdf - Accepted Version Embargoed item. Restricted access to Repository staff only - Requires a PDF viewer. Download (1730Kb) |
Official URL: https://doi.org/10.1007/s11222-019-09903-y
Abstract
This paper examines methodology for performing Bayesian inference sequentially on a sequence of posteriors on spaces of different dimensions. For this, we use sequential Monte Carlo samplers, introducing the innovation of using deterministic transformations to move particles effectively between target distributions with different dimensions. This approach, combined with adaptive methods, yields an extremely flexible and general algorithm for Bayesian model comparison that is suitable for use in applications where the acceptance rate in reversible jump Markov chain Monte Carlo is low. We use this approach on model comparison for mixture models, and for inferring coalescent trees sequentially, as data arrives.
Item Type: | Journal Article | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Subjects: | Q Science > QA Mathematics | |||||||||||||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | |||||||||||||||
Library of Congress Subject Headings (LCSH): | Monte Carlo method, Computer science -- Mathematics, Mathematical statistics, Bayesian statistical decision theory | |||||||||||||||
Journal or Publication Title: | Statistics and Computing | |||||||||||||||
Publisher: | Springer | |||||||||||||||
ISSN: | 0960-3174 | |||||||||||||||
Official Date: | May 2020 | |||||||||||||||
Dates: |
|
|||||||||||||||
Volume: | 30 | |||||||||||||||
Page Range: | pp. 663-676 | |||||||||||||||
DOI: | 10.1007/s11222-019-09903-y | |||||||||||||||
Status: | Peer Reviewed | |||||||||||||||
Publication Status: | Published | |||||||||||||||
Re-use Statement: | This is a post-peer-review, pre-copyedit version of an article published in Statistics and Computing. The final authenticated version is available online at: http://dx.doi.org/10.1007/s11222-019-09903-y | |||||||||||||||
Access rights to Published version: | Open Access (Creative Commons) | |||||||||||||||
Date of first compliant deposit: | 13 September 2019 | |||||||||||||||
Date of first compliant Open Access: | 19 November 2019 | |||||||||||||||
RIOXX Funder/Project Grant: |
|
|||||||||||||||
Related URLs: |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |
Downloads
Downloads per month over past year