We propose a Conditional Density Filtering (C-DF) algorithm for efficient
online Bayesian inference. C-DF adapts MCMC sampling to the online setting,
sampling from approximations to conditional posterior distributions obtained by
propagating surrogate conditional sufficient statistics (a function of data and
parameter estimates) as new data arrive. These quantities eliminate the need to
store or process the entire dataset simultaneously and offer a number of
desirable features. Often, these include a reduction in memory requirements and
runtime and improved mixing, along with state-of-the-art parameter inference
and prediction. These improvements are demonstrated through several
illustrative examples including an application to high dimensional compressed
regression. Finally, we show that C-DF samples converge to the target posterior
distribution asymptotically as sampling proceeds and more data arrives.

本论文提出了一种新的条件密度滤波算法（C-DF），用于有效的在线贝叶斯推断，通过在新数据到达时从条件后验分布的近似中采样，利用统计量消除了同时存储或处理整个数据集的需求，从而提高了内存需求和运行时长，改善了混合度，并展示了其在高维压缩回归中的应用。同时，本文证明了 C-DF 样本随着采样的进行和数据的增多而渐近地收敛于目标后验分布。