SAMPLING, FEASIBILITY, AND PRIORS IN BAYESIAN ESTIMATION

Article, Preprint English OPEN
Chorin, Alexandre J.; Lu, Fei; Miller, Robert N.; Morzfeld, Matthias; Tu, Xuemin;
(2016)
  • Publisher: eScholarship, University of California
  • Subject: Statistics - Computation | Bayesian estimation | model reduction | data assimilation | Monte Carlo

Importance sampling algorithms are discussed in detail, with an emphasis on implicit sampling, and applied to data assimilation via particle filters. Implicit sampling makes it possible to use the data to find high-probability samples at relatively low cost, making the ... View more