Sequential Bayesian Estimation

Eduardo Souza de Cursi ()
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Eduardo Souza de Cursi: INSA Rouen Normandie

Chapter Chapter 6 in Uncertainty Quantification with R, 2024, pp 413-480 from Springer

Abstract: Abstract This chapter presents Monte-Carlo Markov Chain methods and connected topics, namely Importance Sampling, Metropolis-Hastings Algorithm, Kalman Filtering, Particle Filtering, and Bayesian Optimization. The use of UQ for the determination of the distribution of the noise is presented. Programs in R implement all the topics introduced, with examples of use.

Date: 2024
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DOI: 10.1007/978-3-031-48208-3_6

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