Kalman filtering adaptive MCMC

[ben18785]

Interesting paper by Haario (a profligate author of popular adaptive MCMC routines) introducing a Kalman filter adaptive MCMC routine. Their method uses a Kalman filter to derive optimal updates of the covariance matrix as an MCMC sampler runs.

[MichaelClerx]

Any relation to @martinjrobins ideas for a kalman-filter loglikelihood #433 ?

[ben18785]

Nope, is different. May use similar machinery though.

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On 14 Sep 2018, at 13:02, Michael Clerx ***@***.***> wrote: Any relation to @martinjrobins ideas for a kalman-filter loglikelihood #433 ? — You are receiving this because you authored the thread. Reply to this email directly, view it on GitHub, or mute the thread.