compops

pmh-tutorial

Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"

gpo-smc-abc

Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods

gpo-ifac2014

Particle filter-based Gaussian process optimisation for parameter inference

phd-thesis

Accelerating Monte Carlo methods for Bayesian inference in dynamical models

barx-sysid2018

Sparse Bayesian ARX models with flexible noise distributions

pmh-tutorial-rpkg

R package pmhtutorial available from CRAN.

rjmcmc-sysid2012

Hierarchical Bayesian approaches for robust inference in ARX models

panel-dpm2016

Approximate Bayesian inference for mixed effects models with heterogeneity

pmmh-correlated2015

Accelerating pseudo-marginal Metropolis-Hastings by correlating auxiliary variables

newton-sysid2015

Newton-based maximum likelihood estimation in nonlinear state space models

qnmh-sysid2018

Constructing Metropolis-Hastings proposals using damped BFGS updates

smc-toyexample

Sequential Monte Carlo methods (particle filtering/smoothing) for a toy problem

lic-thesis

Source code and data for examples in thesis "Sequential Monte Carlo for inference in nonlinear state space models"

ml-examples

Implementations from a graduate course following "Pattern Recognition and Machine Learning) written by Bishop and published in 2006.

ml-seminar-20180816

pmh-stco2015

Particle Metropolis-Hastings using gradient and Hessian information

pmmh-qn

Correlated pseudo-marginal Metropolis-Hastings using quasi-Newton proposals

eqm-ar

Inference in Gaussian models with missing data using Equalisation Maximisation

pmh-tutorial-seminars

Code skeletons for implementing PMH in MATLAB based on the repo pmh-tutorial

qpmh2-sysid2015

Quasi-Newton particle Metropolis-Hastings