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Particle-MALA and Particle-mGRAD: Gradient-based MCMC methods for high-dimensional state-space models
A Corenflos, A Finke - arxiv preprint arxiv:2401.14868, 2024 - arxiv.org
State-of-the-art methods for Bayesian inference in state-space models are (a) conditional
sequential Monte Carlo (CSMC) algorithms;(b) sophisticated'classical'MCMC algorithms like …
sequential Monte Carlo (CSMC) algorithms;(b) sophisticated'classical'MCMC algorithms like …