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Monte Carlo methods for signal processing: a review in the statistical signal processing context

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2 Author(s)
Doucet, Arnaud ; Dept. of Comput. Sci., British Columbia Univ., Vancouver, BC, Canada ; Xiaodong Wang

In this article, MCMC (Markov chain Monte Carlo methods) and SMC (sequential Monte Carlo methods) are introduced to sample and/or maximize high-dimensional probability distributions. These methods enable to perform likelihood or Bayesian inference for complex non-Gaussian signal processing problems.

Published in:

Signal Processing Magazine, IEEE  (Volume:22 ,  Issue: 6 )