Markov Chain Monte Carlo for Computing Rare-Event Probabilities for a Heavy-Tailed Random Walk.
Thorbjörn GudmundssonHenrik HultPublished in: J. Appl. Probab. (2014)
Keyphrases
- random walk
- markov chain monte carlo
- importance sampling
- markov chain
- monte carlo
- posterior distribution
- parameter estimation
- probability distribution
- particle filter
- state space
- generative model
- approximate inference
- bayesian inference
- posterior probability
- model selection
- support vector
- text mining
- conditional probabilities
- particle filtering
- least squares