# Questions tagged [sequential-monte-carlo]

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### Metropolis-Hastings algorithm doesn't converge to the global minimum

I calculated the total root mean squared error of 24 parameters that are estimated with metropolis hastings, I ran the algorithm for 100.000 iterations, and as the chain forward it reached a global ...
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### Decompose variance explained in sequential mediation in lavaan

I am using sequential mediation analyses (aka serial mediation) in lavaan in R. Below is my model ...
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### How does Particle Filters work?

I'm trying to figure out how particle filter works. Assume that I have selected propability function called $a \sim Gauss(\mu, \sigma)$. We call it proposial (Gaussian) Distribution. Then we have ...
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### Do I need to know the distribution of the noise before I'm using Monte Carlo Sampling?

I'm going to use Particle Filter, which is a Monte Carlo Sampling. My simple question is: Do I need to know the distribution of the noise before I'm using Monte Carlo Sampling? Or can I just use a ...
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### Are the Sequential Monte Carlo algorithm invariant to the step at which we resample?

In a usual textual description (according to SMC in Practice book ) of a SMC algorithm for State-Space models, we usually expand the particles according to the distribution from the transition ...
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### Variance of a mixture of Normals with same $\sigma^2_i$

Let $Y\sim \sum^N_{i=1}\omega_iN(m_i,h^2 V)$. The text I'm reading states that $Var(Y)=(1+h^2)V$, when $m_i=\theta_i$, where $\theta_i$ are draws taken from $P(\theta|D)$, and $V=Var(\theta|D)$ I ...
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### Soft Question: What background do I need to understand Feynmann Kac Formulae by Pierre Del Moral?

I am attempting to understand Sequential Monte Carlo(SMC) deeply, but with little theoretical background on probability theory and stochastic processes. Usually, the 'statistics' perspective of markov ...
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### How do I calculate the weights in ABC-SMC

I have been reading through the Tutorial on ABC rejection and ABC SMC for parameter estimation and model selection by Tina Toni and Michael P. H. Stumpf. I can't work out how to calculate the weights ...
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