2016
DOI: 10.3390/econometrics4010012
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Evolutionary Sequential Monte Carlo Samplers for Change-Point Models

Abstract: Sequential Monte Carlo (SMC) methods are widely used for non-linear filtering purposes. However, the SMC scope encompasses wider applications such as estimating static model parameters so much that it is becoming a serious alternative to Markov-Chain Monte-Carlo (MCMC) methods. Not only do SMC algorithms draw posterior distributions of static or dynamic parameters but additionally they provide an estimate of the marginal likelihood. The tempered and time (TNT) algorithm, developed in this paper, combines (off-… Show more

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Cited by 9 publications
(1 citation statement)
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“…Evolutionary Monte Carlo (EMC) [26,27] is an advanced sampling method that draws inspiration from genetic recombination as well as physics-based MCMC techniques. While EMC has previously been used for a variety of sampling tasks [26,[28][29][30][31], its potential as an exploratory algorithm for protein design remains unexplored. In this paper, we modify EMC as a search tool for exploring the complex fitness landscape of protein sequences capable of gene regulation, which we call EMC Search (EMCS).…”
Section: Introductionmentioning
confidence: 99%
“…Evolutionary Monte Carlo (EMC) [26,27] is an advanced sampling method that draws inspiration from genetic recombination as well as physics-based MCMC techniques. While EMC has previously been used for a variety of sampling tasks [26,[28][29][30][31], its potential as an exploratory algorithm for protein design remains unexplored. In this paper, we modify EMC as a search tool for exploring the complex fitness landscape of protein sequences capable of gene regulation, which we call EMC Search (EMCS).…”
Section: Introductionmentioning
confidence: 99%