Advanced Monte Carlo Methods 1000-1M16ZMC
1) Limit theorems for Markov chains.
2) Standard MCMC algorithms (Gibbs sampler, Metropolis – Hastings algorithms, etc.) .
3) Adaptive MCMC methods, theory and examples.
4) Particle filter for hidden Markov models and its generalization to SMC algorithms.
5) Particle MCMC methods.
Type of course
Bibliography
Meyn S.P., Tweedie R.L.,1993. Markov Chains and Stochastic Stability.Springer
Casella G., Robert C.P.,1999, Monte Carlo Statistical Methods. Springer.
Additional information
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