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stat.CO2025
Grid Particle Gibbs with Ancestor Sampling for State-Space Models
Mary Llewellyn, Ruth King, Víctor Elvira +1
We consider the challenge of estimating the model parameters and latent states of general state-space models within a Bayesian framework. We extend the commonly applied particle Gi…
stat.CO2022
A Point Mass Proposal Method for Bayesian State-Space Model Fitting
Mary Llewellyn, Ruth King, Víctor Elvira +1
State-space models (SSMs) are commonly used to model time series data where the observations depend on an unobserved latent process. However, inference on the model parameters of a…