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stat.ME2025
MCMC for State Space models
Paul Fearnhead, Chris Sherlock
A state-space model is a time-series model that has an unobserved latent process from which we take noisy measurements over time. The observations are conditionally independent giv…
stat.ME2024
Metropolis--Hastings with Scalable Subsampling
Estevão Prado, Christopher Nemeth, Chris Sherlock
The Metropolis-Hastings (MH) algorithm is one of the most widely used Markov Chain Monte Carlo schemes for generating samples from Bayesian posterior distributions. The algorithm i…