Wu, Jiangqi, Wen, Linjie, Green, Peter L, Li, Jinglai and Maskell, Simon ORCID: 0000-0003-1917-2913
(2022)
Ensemble Kalman filter based sequential Monte Carlo sampler for sequential Bayesian inference.
STATISTICS AND COMPUTING, 32 (1).
20-.
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Abstract
<jats:title>Abstract</jats:title><jats:p>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 cannot efficiently address such problems as they do not take advantage of the data’s sequential structure. To this end, sequential methods which seek to update the posterior distribution whenever a new collection of data become available are often used to solve these types of problems. Two popular choices of sequential method are the ensemble Kalman filter (EnKF) and the sequential Monte Carlo sampler (SMCS). While EnKF only computes a Gaussian approximation of the posterior distribution, SMCS can draw samples directly from the posterior. Its performance, however, depends critically upon the kernels that are used. In this work, we present a method that constructs the kernels of SMCS using an EnKF formulation, and we demonstrate the performance of the method with numerical examples.</jats:p>
Item Type: | Article |
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Uncontrolled Keywords: | Ensemble Kalman filter, Parameter estimation, Sequential Bayesian inference, Sequential Monte Carlo sampler |
Divisions: | Faculty of Science and Engineering > School of Electrical Engineering, Electronics and Computer Science Faculty of Science and Engineering > School of Engineering |
Depositing User: | Symplectic Admin |
Date Deposited: | 14 Dec 2021 08:30 |
Last Modified: | 15 Mar 2024 07:09 |
DOI: | 10.1007/s11222-021-10075-x |
Related URLs: | |
URI: | https://livrepository.liverpool.ac.uk/id/eprint/3145326 |
Available Versions of this Item
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Ensemble Kalman filter based Sequential Monte Carlo Sampler for sequential Bayesian inference. (deposited 08 Jan 2021 16:54)
- Ensemble Kalman filter based sequential Monte Carlo sampler for sequential Bayesian inference. (deposited 14 Dec 2021 08:30) [Currently Displayed]