Inference with Hamiltonian Sequential Monte Carlo Simulators

20 Pages Posted: 22 Dec 2016 Last revised: 20 Dec 2018

See all articles by Remi Daviet

Remi Daviet

Wharton Marketing Department, University of Pennsylvania

Date Written: November 1, 2016

Abstract

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

Daviet, Remi, Inference with Hamiltonian Sequential Monte Carlo Simulators (November 1, 2016). Available at SSRN: https://ssrn.com/abstract=2888242 or http://dx.doi.org/10.2139/ssrn.2888242

Remi Daviet (Contact Author)

Wharton Marketing Department, University of Pennsylvania ( email )

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