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Stochastic Analysis and Applications Volume 37, 2019 - Issue 3
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Articles

Multilevel Monte Carlo in approximate Bayesian computation

Ajay JasraDepartment of Statistics and Applied Probability and Operations Research Cluster, National University of Singapore, Singapore, Singapore; Correspondence[email protected]
,
Seongil JoDepartment of Statistics, Chonbuk National University, Jeonju, Republic of Korea;
,
David NottDepartment of Statistics and Applied Probability and Operations Research Cluster, National University of Singapore, Singapore, Singapore;
,
Christine ShoemakerDepartment of Civil and Environmental Engineering and Operations Research Cluster, National University of Singapore, Singapore, Singapore;
&
Raul TemponeCenter for Uncertainty Quantification in Computational Science and Engineering, King Abdullah University of Science and Technology, Thuwal, Saudi Arabia
Pages 346-360 | Received 29 Nov 2018, Accepted 22 Dec 2018, Published online: 31 Jan 2019

Citations (6)

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Read on this site (1)

David J. Warne, Ruth E. Baker & Matthew J. Simpson. (2022) Rapid Bayesian Inference for Expensive Stochastic Models. Journal of Computational and Graphical Statistics 31:2, pages 512-528.
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Articles from other publishers (5)

Thomas P. Prescott, David J. Warne & Ruth E. Baker. (2024) Efficient multifidelity likelihood-free Bayesian inference with adaptive computational resource allocation. Journal of Computational Physics 496, pages 112577.
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David J. Warne, Thomas P. Prescott, Ruth E. Baker & Matthew J. Simpson. (2022) Multifidelity multilevel Monte Carlo to accelerate approximate Bayesian parameter inference for partially observed stochastic processes. Journal of Computational Physics 469, pages 111543.
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David J. Warne, Scott A. Sisson & Christopher Drovandi. (2022) Vector Operations for Accelerating Expensive Bayesian Computations – A Tutorial Guide. Bayesian Analysis 17:2.
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Thomas P. Prescott & Ruth E. Baker. (2021) Multifidelity Approximate Bayesian Computation with Sequential Monte Carlo Parameter Sampling. SIAM/ASA Journal on Uncertainty Quantification 9:2, pages 788-817.
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Ajay Jasra, Kody Law & Carina Suciu. (2020) Advanced Multilevel Monte Carlo Methods. International Statistical Review 88:3, pages 548-579.
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