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dc.contributor.authorCao, Zhanglong
dc.contributor.authorBryant, David
dc.contributor.authorParry, Matthew
dc.identifier.citationCao, Z. and Bryant, D. and Parry, M. 2018. Adaptive Sequential MCMC for Combined State and Parameter Estimation. 1803.07734: pp. 1-44.

In the case of a linear state space model, we implement an MCMC sampler with two phases. In the learning phase, a self-tuning sampler is used to learn the parameter mean and covariance structure. In the estimation phase, the parameter mean and covariance structure informs the proposed mechanism and is also used in a delayed-acceptance algorithm. Information on the resulting state of the system is given by a Gaussian mixture. In on-line mode, the algorithm is adaptive and uses a sliding window approach to accelerate sampling speed and to maintain appropriate acceptance rates. We apply the algorithm to joined state and parameter estimation in the case of irregularly sampled GPS time series data.

dc.titleAdaptive Sequential MCMC for Combined State and Parameter Estimation
dc.typeJournal Article
curtin.departmentSchool of Molecular and Life Sciences (MLS)
curtin.accessStatusFulltext not available
curtin.facultyFaculty of Science and Engineering
curtin.contributor.orcidCao, Zhanglong [0000-0001-6667-9392]

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