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Bayesian numerical inference for hidden Markov models

Campillo F., Rakotozafy R., Rossi V.. 2007. In : Colloque international de Statistique Appliquée pour le Développement en Afrique - SADA'07, 26 février - 02 mars 2007, Cotonou , Bénin. s.l. : s.n., 6 p.. Colloque Internationale de Statistique Appliquée pour le Développement en Afrique (SADA'07), 2007-02-26/2007-03-02, Cotonou (Bénin).

In many situations it is important to be able to propose N independent realizations of a given distribution law. We propose a strategy for making N parallel Monte Carlo Markov Chains (MCMC) interact in order to get an approximation of an independent N-sample of a given target law. In this method each individual chain proposes candidates for all other chains. We prove that the set of interacting chains is itself a MCMC method for the product of N target measures. Compared to independent parallel chains this method is more time consuming, but we show through examples that it possesses many advantages. This approach is applied to a biomass evolution model.

Mots-clés : méthode statistique; modèle mathématique; modèle de simulation

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