On importance sampling with mixtures for random walks with heavy tails.
Henrik HultJens SvenssonPublished in: ACM Trans. Model. Comput. Simul. (2012)
Keyphrases
- random walk
- importance sampling
- heavy tails
- heavy tailed
- markov chain
- monte carlo
- kalman filter
- approximate inference
- particle filter
- probability density function
- directed graph
- mixture model
- particle filtering
- markov chain monte carlo
- generalized gaussian
- state space
- prior distribution
- graphical models
- higher order
- posterior distribution
- expectation maximization
- markov random field