2 papers
stat.AP2018
Adaptive Sequential MCMC for Combined State and Parameter Estimation
Zhanglong Cao, David Bryant, Matthew Parry
In the case of a linear state space model, we implement an MCMC sampler with two phases. In the learning phase, a self-tuning sampler is used to learn the parameter mean and covari…
math.ST2018
V-Splines and Bayes Estimate
Zhanglong Cao, David Bryant, Matthew Parry
Smoothing splines can be thought of as the posterior mean of a Gaussian process regression in a certain limit. By constructing a reproducing kernel Hilbert space with an appropriat…