Pseudo-Marginal Hamiltonian Monte Carlo

no code implementations • 8 Jul 2016 • Johan Alenlöv, Arnaud Doucet, Fredrik Lindsten

When following a Markov chain Monte Carlo (MCMC) approach to approximate the posterior distribution in this context, one typically either uses MCMC schemes which target the joint posterior of the parameters and some auxiliary latent variables, or pseudo-marginal Metropolis--Hastings (MH) schemes.

Bayesian Inference