A survey of Monte Carlo methods for parameter estimation

Extremely efficient acceptance-rejection method for simulating uncorrelated Nakagami fading channels

(2018) Luca Martino et al.   COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION

A review of multiple try MCMC algorithms for signal processing

(2018) Luca Martino   DIGITAL SIGNAL PROCESSING

The Recycling Gibbs sampler for efficient learning

(2018) Luca Martino et al.   DIGITAL SIGNAL PROCESSING

Efficient linear fusion of partial estimators

(2018) David Luengo et al.   DIGITAL SIGNAL PROCESSING

Pólya Urn Latent Dirichlet Allocation: a doubly sparse massively parallel sampler

(2018) Alexander Terenin et al.   IEEE TRANSACTIONS ON PATTERN ANALYSIS AND MACHINE INTELLIGENCE

GPU-accelerated Gibbs sampling: a case study of the Horseshoe Probit model

(2018) Alexander Terenin et al.   STATISTICS AND COMPUTING

Adaptive independent sticky MCMC algorithms

(2018) Luca Martino et al.   EURASIP Journal on Advances in Signal Processing

Group Importance Sampling for particle filtering and MCMC

(2018) Luca Martino et al.   DIGITAL SIGNAL PROCESSING

MCMC for Imbalanced Categorical Data

(2018) James E. Johndrow et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Adaptive Importance Sampling: The past, the present, and the future

(2017) Monica F. Bugallo et al.   IEEE SIGNAL PROCESSING MAGAZINE

Independent Resampling Sequential Monte Carlo Algorithms

(2017) Roland Lamberti et al.   IEEE TRANSACTIONS ON SIGNAL PROCESSING

Stan: A Probabilistic Programming Language

(2017) Bob Carpenter et al.   Journal of Statistical Software

Improving population Monte Carlo: Alternative weighting and resampling schemes

(2017) Víctor Elvira et al.   SIGNAL PROCESSING

Effective sample size for importance sampling based on discrepancy measures

(2017) Luca Martino et al.   SIGNAL PROCESSING

On the role of interaction in sequential Monte Carlo algorithms

(2016) Nick Whiteley et al.   BERNOULLI

Issues in the Multiple Try Metropolis mixing

(2016) L. Martino et al.   COMPUTATIONAL STATISTICS

Orthogonal parallel MCMC methods for sampling and optimization

(2016) L. Martino et al.   DIGITAL SIGNAL PROCESSING

Heretical Multiple Importance Sampling

(2016) Victor Elvira et al.   IEEE SIGNAL PROCESSING LETTERS

Adaptive, Delayed-Acceptance MCMC for Targets With Expensive Likelihoods

(2016) Chris Sherlock et al.   JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS

Control functionals for Monte Carlo integration

(2016) Chris J. Oates et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

A proof of uniform convergence over time for a distributed particle filter

(2016) Joaquín Míguez et al.   SIGNAL PROCESSING

Layered adaptive importance sampling

(2016) L. Martino et al.   STATISTICS AND COMPUTING

Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter

(2015) Isambi S. Mbalawata et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

A fast universal self-tuned sampler within Gibbs sampling

(2015) L. Martino et al.   DIGITAL SIGNAL PROCESSING

Combining particle MCMC with Rao-Blackwellized Monte Carlo data association for parameter estimation in multiple target tracking

(2015) Juho Kokkala et al.   DIGITAL SIGNAL PROCESSING

Adaptive importance sampling in signal processing

(2015) Mónica F. Bugallo et al.   DIGITAL SIGNAL PROCESSING

Efficient Multiple Importance Sampling Estimators

(2015) Victor Elvira et al.   IEEE SIGNAL PROCESSING LETTERS

Independent Doubly Adaptive Rejection Metropolis Sampling Within Gibbs Sampling

(2015) Luca Martino et al.   IEEE TRANSACTIONS ON SIGNAL PROCESSING

An Adaptive Population Importance Sampler: Learning From Uncertainty

(2015) Luca Martino et al.   IEEE TRANSACTIONS ON SIGNAL PROCESSING

Monte Carlo methods beyond detailed balance

(2015) Raoul D. Schram et al.   PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Non-reversible Metropolis-Hastings

(2015) Joris Bierkens   STATISTICS AND COMPUTING

Bayesian computation: a summary of the current state, and samples backwards and forwards

(2015) Peter J. Green et al.   STATISTICS AND COMPUTING

Stability of noisy Metropolis–Hastings

(2015) F. J. Medina-Aguayo et al.   STATISTICS AND COMPUTING

A general construction for parallelizing Metropolis−Hastings algorithms

(2014) Ben Calderhead   PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA

Noisy Monte Carlo: convergence of Markov chains with approximate transition kernels

(2014) P. Alquier et al.   STATISTICS AND COMPUTING

A novel adaptive importance sampling algorithm based on Markov chain and low-discrepancy sequence

(2013) Xiukai Yuan et al.   AEROSPACE SCIENCE AND TECHNOLOGY

Optimal tuning of the hybrid Monte Carlo algorithm

(2013) Alexandros Beskos et al.   BERNOULLI

On the flexibility of the design of multiple try Metropolis schemes

(2013) Luca Martino et al.   COMPUTATIONAL STATISTICS

Reply to Hartig and Dormann: The true model myth

(2013) C. T. Perretti et al.   PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA

Model-free forecasting outperforms the correct mechanistic model for simulated and experimental data

(2013) C. T. Perretti et al.   PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA

A distributed particle filter for nonlinear tracking in wireless sensor networks

(2013) Jesse Read et al.   SIGNAL PROCESSING

On parallel implementation of sequential Monte Carlo methods: the island particle model

(2013) Christelle Vergé et al.   STATISTICS AND COMPUTING

Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC

(2013) Simo Särkkä et al.   STATISTICS AND COMPUTING

A population Monte Carlo scheme with transformed weights and its application to stochastic kinetic models

(2013) Eugenia Koblents et al.   STATISTICS AND COMPUTING

Approximate Bayesian Computation

(2013) Mikael Sunnåker et al.   PLoS Computational Biology

Optimal scaling and diffusion limits for the Langevin algorithm in high dimensions

(2012) Natesh S. Pillai et al.   ANNALS OF APPLIED PROBABILITY

Parameter estimation in stochastic differential equations with Markov chain Monte Carlo and non-linear Kalman filtering

(2012) Isambi S. Mbalawata et al.   COMPUTATIONAL STATISTICS

Almost rejectionless sampling from Nakagami-m distributions (m≥1)

(2012) D. Luengo et al.   ELECTRONICS LETTERS

A Sequential Monte Carlo Algorithm to Incorporate Model Uncertainty in Bayesian Sequential Design

(2012) Christopher C. Drovandi et al.   JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS

Adaptive Multiple Importance Sampling

(2012) JEAN-MARIE CORNUET et al.   SCANDINAVIAN JOURNAL OF STATISTICS

A multi-point Metropolis scheme with generic weight functions

(2012) Luca Martino et al.   STATISTICS & PROBABILITY LETTERS

A tutorial on variational Bayesian inference

(2011) Charles W. Fox et al.   ARTIFICIAL INTELLIGENCE REVIEW

Highly efficient rejection method for generating Nakagami-m sequences

(2011) Q.M. Zhu et al.   ELECTRONICS LETTERS

Cancelation of unknown multiharmonic disturbance for nonlinear plant with input delay

(2011) A. A. Bobtsov et al.   INTERNATIONAL JOURNAL OF ADAPTIVE CONTROL AND SIGNAL PROCESSING

Concave-Convex Adaptive Rejection Sampling

(2011) Dilan Görür et al.   JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS

Riemann manifold Langevin and Hamiltonian Monte Carlo methods

(2011) Mark Girolami et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

Robust adaptive Metropolis algorithm with coerced acceptance rate

(2011) Matti Vihola   STATISTICS AND COMPUTING

Transformed density rejection with inflection points

(2011) Carsten Botts et al.   STATISTICS AND COMPUTING

Markov chain importance sampling with applications to rare event probability estimation

(2011) Zdravko I. Botev et al.   STATISTICS AND COMPUTING

Interacting multiple try algorithms with different proposal distributions

(2011) Roberto Casarin et al.   STATISTICS AND COMPUTING

Approximate Bayesian computational methods

(2011) Jean-Michel Marin et al.   STATISTICS AND COMPUTING

On the stability and ergodicity of adaptive scaling Metropolis algorithms

(2011) Matti Vihola   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Scaling analysis of multiple-try MCMC methods

(2011) Mylène Bédard et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

On thinning of chains in MCMC

(2011) William A. Link et al.   Methods in Ecology and Evolution

Limit theorems for some adaptive MCMC algorithms with subgeometric kernels

(2010) Yves Atchadé et al.   BERNOULLI

Non-reversible Monte Carlo simulations of spin models

(2010) Heitor C.M. Fernandes et al.   COMPUTER PHYSICS COMMUNICATIONS

Adaptive Independent Metropolis–Hastings by Fast Estimation of Mixtures of Normals

(2010) Paolo Giordani et al.   JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS

Learn From Thy Neighbor: Parallel-Chain and Regional Adaptive MCMC

(2010) Radu V. Craiu et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Particle Markov chain Monte Carlo methods

(2010) Christophe Andrieu et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

Irreversible Monte Carlo algorithms for efficient sampling

(2010) Konstantin S. Turitsyn et al.   PHYSICA D-NONLINEAR PHENOMENA

Generalized rejection sampling schemes and applications in signal processing

(2010) Luca Martino et al.   SIGNAL PROCESSING

A generalization of the adaptive rejection sampling algorithm

(2010) Luca Martino et al.   STATISTICS AND COMPUTING

Optimal scalings for local Metropolis–Hastings chains on nonproduct targets in high dimensions

(2009) Alexandros Beskos et al.   ANNALS OF APPLIED PROBABILITY

The pseudo-marginal approach for efficient Monte Carlo computations

(2009) Christophe Andrieu et al.   ANNALS OF STATISTICS

Efficient parallelisation of Metropolis–Hastings algorithms using a prefetching approach

(2009) Ingvar Strid   COMPUTATIONAL STATISTICS & DATA ANALYSIS

The variational approximation for Bayesian inference

(2009) Dimitris G. Tzikas et al.   IEEE SIGNAL PROCESSING MAGAZINE

The BUGS project: Evolution, critique and future directions

(2009) David Lunn et al.   STATISTICS IN MEDICINE

Adaptive rejection Metropolis sampling using Lagrange interpolation polynomials of degree 2

(2008) Renate Meyer et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Parallell interacting MCMC for learning of topologies of graphical models

(2008) Jukka Corander et al.   DATA MINING AND KNOWLEDGE DISCOVERY

Efficient Sampling Using Metropolis Algorithms: Applications of Optimal Scaling Results

(2008) Mylène Bédard   JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS

An Empirical Study of Collaborative Acoustic Source Localization

(2008) Andreas Mantik Ali et al.   Journal of Signal Processing Systems for Signal Image and Video Technology

On Student's 1908 Article “The Probable Error of a Mean”

(2008) S. L Zabell   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

A tutorial on adaptive MCMC

(2008) Christophe Andrieu et al.   STATISTICS AND COMPUTING

Adaptive importance sampling in general mixture classes

(2008) Olivier Cappé et al.   STATISTICS AND COMPUTING

Optimal acceptance rates for Metropolis algorithms: Moving beyond 0.234

(2008) Mylène Bédard   STOCHASTIC PROCESSES AND THEIR APPLICATIONS