Search engine for discovering works of Art, research articles, and books related to Art and Culture
ShareThis
Javascript must be enabled to continue!

Sequential Monte Carlo Methods

View through CrossRef
This chapter analyzes Sequential Monte Carlo (SMC) algorithms and how they were initially developed to solve filtering problems that arise in nonlinear state–space models. The first paper that applied SMC techniques to posterior inference in DSGE models is Creal (2007). Herbst and Schorfheide (2014) developed the algorithm further, provided some convergence results for an adaptive version of the algorithm, and showed that a properly tailored SMC algorithm delivers more reliable posterior inference for largescale DSGE models with multimodal posteriors than the widely used RMWHV algorithm. An additional advantage of the SMC algorithms over MCMC algorithms, on the computational front, highlighted by Durham and Geweke (2014), is that SMC is much more amenable to parallelization.
Title: Sequential Monte Carlo Methods
Description:
This chapter analyzes Sequential Monte Carlo (SMC) algorithms and how they were initially developed to solve filtering problems that arise in nonlinear state–space models.
The first paper that applied SMC techniques to posterior inference in DSGE models is Creal (2007).
Herbst and Schorfheide (2014) developed the algorithm further, provided some convergence results for an adaptive version of the algorithm, and showed that a properly tailored SMC algorithm delivers more reliable posterior inference for largescale DSGE models with multimodal posteriors than the widely used RMWHV algorithm.
An additional advantage of the SMC algorithms over MCMC algorithms, on the computational front, highlighted by Durham and Geweke (2014), is that SMC is much more amenable to parallelization.

Related Results

Sequential Speciation and Cascading Divergence
Sequential Speciation and Cascading Divergence
A central, long-standing, and largely untested premise in evolutionary ecology is that “biodiversity begets biodiversity” in a process referred to as “sequential” or “cascading” di...
Efficiency in Sequential Testing: Comparing the Sequential Probability Ratio Test and the Sequential Bayes Factor Test
Efficiency in Sequential Testing: Comparing the Sequential Probability Ratio Test and the Sequential Bayes Factor Test
In a sequential hypothesis test, the analyst checks at multiple steps during data collection whether sufficient evidence has accrued to make a decision about the tested hypotheses....
An Introduction To Sequential Ode Methods
An Introduction To Sequential Ode Methods
Abstract Since this monograph is concerned with an exposition of efficient methods for the numerical solution of systems of differential equations in a parallel comp...
Low-high-low or high-low-high? Pattern effects on sequential auditory scene analysis
Low-high-low or high-low-high? Pattern effects on sequential auditory scene analysis
Sequential auditory scene analysis (ASA) is often studied using sequences of two alternating tones, such as ABAB or ABA_, with “_” denoting a silent gap, and “A” and “B” sine tones...
Equivalence of the ap-Sequential Henstock and ap-Sequential Topological Henstock Integrals
Equivalence of the ap-Sequential Henstock and ap-Sequential Topological Henstock Integrals
Let $X$ be a topological space and $\Omega \subset X$. Suppose $f:\Omega\rightarrow X$ is a function defined in a complete space $ \Omega $ and $ \tau $ is a vector in $ \mathbb{R}...
Characterizing protein protonation microstates using Monte Carlo sampling
Characterizing protein protonation microstates using Monte Carlo sampling
ABSTRACTProteins are polyelectrolytes with acidic or basic amino acids making up ≈25% of the residues. The protonation state of all Asp, Glu, Arg, Lys, His and other protonatable r...
Rotational Relaxation in Nonpolar Diatomic Gases
Rotational Relaxation in Nonpolar Diatomic Gases
The rotational-translational energy transfer in collisions between homonuclear diatomic molecules and the rotational relaxation time in diatomic gases have been investigated classi...
PERSONNEL DEVELOPMENT MANAGEMENT
PERSONNEL DEVELOPMENT MANAGEMENT
The article considers the current goals of staff development, areas of staff development, some principles of staff development, namely: individuality, interest of the company and e...

Recent Results

The Future of the Present
The Future of the Present
This article tries to probe the phenomenon of post-Orientalism in order to answer the question: what next after Orientalism by Edward Said? Building further upon the insight that O...
Abstract 8298: Cardiac Structure and Function and Mortality in the Oldest Old
Abstract 8298: Cardiac Structure and Function and Mortality in the Oldest Old
Background: People over the age of 85 are the world's most rapidly growing age group and have a high incidence of cardiovascular mortality. The prognostic significance ...

Back to Top