Monte Carlo methods for signal processing: a review in the statistical signal processing context
Arnaud Doucet, Xiaodong Wang · IEEE Signal Processing Magazine · 2005
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.