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stat.CO2025
Autocovariance and Optimal Design for Random Walk Metropolis-Hastings Algorithm
Jingyi Zhang, James C. Spall
The Metropolis-Hastings algorithm has been extensively studied in the estimation and simulation literature, with most prior work focusing on convergence behavior and asymptotic the…
stat.CO2019
Error Analysis for the Particle Filter: Methods and Theoretical Support
Ziyu Liu, Shihong Wei, James C. Spall
The particle filter is a popular Bayesian filtering algorithm for use in cases where the state-space model is nonlinear and/or the random terms (initial state or noises) are non-Ga…