Finke, Axel; Johansen, Adam; Spanò, Dario - In: Annals of the Institute of Statistical Mathematics 66 (2014) 3, pp. 577-609
We develop particle Gibbs samplers for static-parameter estimation in discretely observed piecewise deterministic process (PDPs). PDPs are stochastic processes that jump randomly at a countable number of stopping times but otherwise evolve deterministically in continuous time. A sequential Monte...