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MCMC for non-linear state space models using ensembles of latent sequences
MCMC non-linear state space models ensembles latent sequences
2013/6/13
Non-linear state space models are a widely-used class of models for biological, economic, and physical processes. Fitting these models to observed data is a difficult inference problem that has no str...
This paper surveys various results about Markov chains on general (non-countable) state spaces. It begins with an introduction to Markov chain Monte Carlo (MCMC) algorithms, which provide the motivati...