Variance reduction for Metropolis-Hastings samplers

DOI10.1007/s11222-022-10183-2zbMath1499.62009arXiv2203.02268OpenAlexW4309938235MaRDI QIDQ2104009

Petros Dellaportas, Angelos Alexopoulos, Michalis K. Titsias

Publication date: 9 December 2022

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.02268

zbMATH Keywords

stochastic volatilityMarkov chain Monte CarloPoisson equationlogistic regressionBayesian inferencecontrol variates

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Generalized linear models (logistic models) (62J12) Monte Carlo methods (65C05)

Uses Software

• R

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