Bayesian Conditional Density Filtering
Published in Journal of Computational and Graphical Statistics • Jan 10, 2018
NobleIDNI8P28W68R51S30
Authors:,,
Rajarshi Guhaniyogi
Shaan Qamar
David B. Dunson
Abstract
We propose a conditional density filtering (C-DF) algorithm for efficient online Bayesian inference. C-DF adapts MCMC sampling to the online setting, sampling from approximations to conditional posterior distributions obtained by propagating surrogate conditional sufficient statistics (a function of...
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