A Monte Carlo Markov chain algorithm for a class of mixture time series models.
John W. LauMike K. P. SoPublished in: Stat. Comput. (2011)
Keyphrases
- monte carlo
- markov chain
- monte carlo simulation
- monte carlo method
- importance sampling
- markov model
- transition probabilities
- markov chain monte carlo
- transition matrix
- steady state
- finite state
- matrix inversion
- monte carlo tree search
- random walk
- dynamic programming
- game tree
- state space
- stationary distribution
- search space
- learning algorithm
- random fields
- particle filter
- probabilistic model
- gibbs sampler