Inference with Hamiltonian Sequential Monte Carlo Simulators
20 Pages Posted: 22 Dec 2016 Last revised: 20 Dec 2018
Date Written: November 1, 2016
The paper proposes a new Monte-Carlo simulator combining the advantages of Sequential Monte Carlo simulators and Hamiltonian Monte Carlo simulators. The result is a method that is robust to multimodality and complex shapes to use for inference in presence of difficult likelihoods or target functions. Several examples are provided.
Keywords: Sequential Monte Carlo, Hamiltonian Monte Carlo
JEL Classification: C01, C15, C63, C61
Suggested Citation: Suggested Citation