J. S. Liu, R. Chen, and W. H. Wong, "Rejection control and sequential importance sampling," Journal of the American Statistical Association, vol. 93, no. 443, pp. 10221031, 1998. Home/Search Document Not in Database Summary Related Articles Check |
This paper is cited in the following contexts:
Nonlinear And Non-Gaussian State Space Modeling Using Sampling.. - Tanizaki (2001) (5 citations) (Correct)
....information is too di#erent from the present sample, however, the obtained filtering and smoothing random draws become unrealistic. To avoid this situation, in this paper we take an appropriately chosen density as the sampling density for random number generation. Note that Kong et al. 1994) Liu and Chen (1995, 1998) and Doucet et al. 2000) utilized the sampling density other than the one step ahead prediction density. In addition, the fixed interval smoother proposed by Kitagawa (1996) and Kitagawa and Gersch (1996) does not give us the exact solution of the state estimate even when the number of random ....
....and transition equations. RS cannot be applied in the case where the acceptance probability is equal to zero, i.e. when the supremum is infinity. Even if the supremum is finite, it takes a lot of computational time when the acceptance probability is close to zero. To improve the problems in RS, Liu, Chen and Wong (1998) suggested combining rejection sampling and importance sampling. In this paper, we consider generating random draws from the joint densities of the state variables, i.e. p(# t , # t 1 Y t ) for filtering and p(# t 1 , # t Y T ) or p(# t 1 , # t , # t 1 Y T ) for smoothing, where the ....
Liu, J.S., Chen, R. and Wong, W.HG. (1998). Rejection Control and Sequential Importance Sampling, J. Amer. Statist. Assoc., 93, 1022--1031.
Bayesian Time Series: Analysis Methods Using Simulation-Based.. - Liu (2000) Self-citation (Liu) (Correct)
....they made the point that early imputations are primarily based on priors and are very likely to lose predictability for the future observations. They proposed the use of a Gibbs sampler to process the rst batch of signals and 27 provide the initial samples. Along the line of rejuvenation, [54] proposed rejection controlled sequential importance sampling for state space models, which is designed to simultaneously reduce Monte Carlo variation and retain independent samples. Berzuini et al. ( 4] proposed a sampling resampling approach for general state space models and showed that each ....
J S Liu. Rejection control and sequential importance sampling. Journal of American Statistical Association, 93:1022-1031, 1998.
A Theoretical Framework for Sequential Importance Sampling and .. - Jun Liu Rong (2000) (17 citations) Self-citation (Liu Chen) (Correct)
No context found.
Liu, J. S., Chen, R. and Wong, W. H. (1998). Rejection control and sequential importance sampling, Journal of the American Statistical Association
Architectures for Efficient Implementation of Particle Filters - Bolic (2004) (Correct)
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J. S. Liu, R. Chen, and W. H. Wong, "Rejection control and sequential importance sampling," Journal of the American Statistical Association, vol. 93, no. 443, pp. 10221031, 1998.
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