Title: Efficiently combining pseudo marginal and particle Gibbs sampling
Authors: Robert Kohn - University of New South Wales (Australia) [presenting]
Christopher K Carter - UNSW (Australia)
David Gunawan - University of New South Wales (Australia)
Abstract: The focus is on the problem of statistical inference for both the unobserved latent states and the parameters in a class of non-linear and non-Gaussian state space models. We develop an efficient particle Markov chain Monte Carlo (PMCMC) sampling scheme that converges to the posterior distribution of the unobserved latent states and the parameters and extends the PMCMC methods developed previously.