Ensemble Kalman filter based sequential Monte Carlo sampler for sequential Bayesian inference
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DOI: 10.1007/s11222-021-10075-x
Abstract: Many real-world problems require one to estimate parameters of interest, in a Bayesian framework, from data that are collected sequentially in time. Conventional methods for sampling from posterior distributions, such as Markov chain Monte Carlo… read more here.
Keywords: carlo sampler; monte carlo; kalman filter; ensemble kalman ... See more keywords