A new strategy for speeding Markov chain Monte Carlo algorithms

zbMath1064.65003MaRDI QIDQ1766991

Daniel J. Sargent, Antonietta Mira

Publication date: 3 March 2005

Published in: Statistical Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

numerical exampleefficiencyasymptotic varianceGibbs samplerMarkov chain Monte Carlo methodsRao-BlackwellizationMetropolis Hastings algorithms

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Nonparametric estimation (62G05) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Estimating discrete Markov models from various incomplete data schemes ⋮ Parallel hierarchical sampling: a general-purpose interacting Markov chains Monte Carlo algorithm ⋮ A Perturbative Approach to Control Variates in Molecular Dynamics ⋮ On the empirical efficiency of local MCMC algorithms with pools of proposals

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