207 citations · 565 across the 24 of their papers we have counts for
5 papers · 1 filter
The iterated auxiliary particle filter
Pieralberto Guarniero, Adam M. Johansen, Anthony Lee
We present an offline, iterated particle filter to facilitate statistical inference in general state space hidden Markov models. Given a model and a sequence of observations, the a…
Variance estimation in the particle filter
Anthony Lee, Nick Whiteley
This paper concerns numerical assessment of Monte Carlo error in particle filters. We show that by keeping track of certain key features of the genealogical structure arising from…
Bayesian Indirect Inference Using a Parametric Auxiliary Model
Christopher C. Drovandi, Anthony N. Pettitt, Anthony Lee
Indirect inference (II) is a methodology for estimating the parameters of an intractable (generative) model on the basis of an alternative parametric (auxiliary) model that is both…
Stability of Noisy Metropolis-Hastings
Felipe J. Medina-Aguayo, Anthony Lee, Gareth O. Roberts
Pseudo-marginal Markov chain Monte Carlo methods for sampling from intractable distributions have gained recent interest and have been theoretically studied in considerable depth.…
Accelerating Metropolis-Hastings algorithms by Delayed Acceptance
Marco Banterle, Clara Grazian, Anthony Lee +1
MCMC algorithms such as Metropolis-Hastings algorithms are slowed down by the computation of complex target distributions as exemplified by huge datasets. We offer in this paper a…