Sequential Monte Carlo Projects
The
starred projects are (in my opinion) a bit harder than the rest.
Methodology
- Sensitivity
methods for SMC with application to recursive parameter estimation
- Recursive
parameter estimation using on-line Expectation-Maximization methods
- Performance
analysis of recursive Bayesian parameter estimation
- Adaptive
SMC samplers for global optimization
- Adaptive
SMC samplers for Bayesian variable selection
- Trans-dimensional
SMC samplers for partially observed point processes
- Comparison
of smoothing
algorithms for state-space models
- *
SMC methods for optimal control
Theory
- Uniform
convergence bounds
- Central
limit theorems
- Exact
calculations of asymptotic variance for SMC methods for a special class
of dynamic models
- *
Convergence
results for non-bounded test functions
- Central
limit theorems for smoothing algorithms
Applications
- SMC
methods for infinite hidden Markov models (nonparametric Bayes)
- SMC
methods for changepoint models
- SMC
methods for hierarchical clustering via coalescent