Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| MCMC para Series Temporales× | Filtro de Partículas (Monte Carlo Secuencial)× | |
|---|---|---|
| Campo | Bayesiano | Bayesiano |
| Familia | Bayesian methods | Bayesian methods |
| Año de origen≠ | 1994–1997 | 1993 |
| Autor original≠ | Carter & Kohn; West & Harrison | Gordon, Salmond & Smith |
| Tipo≠ | Bayesian posterior sampling for time-ordered data | Sequential Monte Carlo estimator |
| Fuente seminal≠ | Carter, C. K. & Kohn, R. (1994). On Gibbs sampling for state space models. Biometrika, 81(3), 541–553. DOI ↗ | Gordon, N. J., Salmond, D. J., & Smith, A. F. M. (1993). Novel approach to nonlinear/non-Gaussian Bayesian state estimation. IEE Proceedings F (Radar and Signal Processing), 140(2), 107–113. DOI ↗ |
| Alias≠ | MCMC time series, Bayesian time series MCMC, time series posterior sampling, sequential Bayesian MCMC | SMC, sequential Monte Carlo, bootstrap filter, condensation algorithm |
| Relacionados≠ | 6 | 4 |
| Resumen≠ | Time series MCMC applies Markov chain Monte Carlo methods to Bayesian inference over time-ordered data. Rather than optimising a single parameter estimate, it draws samples from the full joint posterior of parameters and latent states, yielding probability distributions that honestly reflect uncertainty about dynamics, trends, and seasonal patterns across every time point. | The particle filter, introduced by Gordon, Salmond, and Smith in 1993, is a sequential Monte Carlo algorithm that approximates the Bayesian filtering distribution for nonlinear and non-Gaussian state-space models. Rather than tracking a single best estimate, it maintains a cloud of N weighted random samples — particles — that collectively represent the full posterior distribution of a hidden state at each point in time as new observations arrive. |
| ScholarGateConjunto de datos ↗ |
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