Browsing Mathematics by Subject "non-linear"
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Sampling Latent States for High-Dimensional Non-Linear State Space Models with the Embedded HMM Method
(2018-09)We propose a new scheme for selecting pool states for the embedded Hidden Markov Model (HMM) Markov Chain Monte Carlo (MCMC) method. This new scheme allows the embedded HMM method to be used for efficient sampling in state ...