Jean-Morlet chair: Masterclass in Bayesian statistics / Chaire Jean-Morlet : École de statistique bayésienne

Collection Jean-Morlet chair: Masterclass in Bayesian statistics / Chaire Jean-Morlet : École de statistique bayésienne

Organizer(s) Chopin, Nicolas ; Mengersen, Kerrie ; Pommeret, Denys ; Pudlo, Pierre ; Robert, Christian P. ; Ryder, Robin
Date(s) 22/10/2018 - 26/10/2018
linked URL https://www.chairejeanmorlet.com/1854.html
00:00:00 / 00:00:00
4 5

Also appears in collection : Research School

This course will give a gentle introduction to SMC (Sequential Monte Carlo algorithms): • motivation: state-space (hidden Markov) models, sequential analysis of such models; non-sequential problems that may be tackled using SMC. • Formalism: Markov kernels, Feynman-Kac distributions. • Monte Carlo tricks: importance sampling and resampling • standard particle filters: bootstrap, guided, auxiliary • maximum likelihood estimation of state-stace models • Bayesian estimation of these models: PMCMC, SMC$^2$.

Information about the video

Citation data

  • DOI 10.24350/CIRM.V.19468603
  • Cite this video Chopin, Nicolas (25/10/2018). An introduction to particle filters. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19468603
  • URL https://dx.doi.org/10.24350/CIRM.V.19468603

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