Dynamically Rescaled Hamiltonian Monte Carlo for Bayesian Hierarchical Models

DOI10.1080/10618600.2019.1584901OpenAlexW2963033187MaRDI QIDQ3391260

Tore Selland Kleppe

Publication date: 28 March 2022

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.02068

zbMATH Keywords

Markov chain Monte Carlo (MCMC)Bayesian hierarchical modelsHamiltonian Monte CarloRiemann manifold Hamiltonian Monte Carlo

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Importance Sampling-Based Transport Map Hamiltonian Monte Carlo for Bayesian Hierarchical Models, Efficient data augmentation techniques for some classes of state space models, Modified Hamiltonian Monte Carlo for Bayesian inference

Uses Software

• R
• GMRFLib
• Stan
• BayesDA
• RStan
• rstan
• TMB
• CSparse
• NUTS

Cites Work

• The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo
• Efficient estimation of conditionally linear and Gaussian state space models
• Choice of basis for Laplace approximation
• Modified Cholesky Riemann manifold Hamiltonian Monte Carlo: exploiting sparsity for fast sampling of high-dimensional targets
• Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling
• Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations
• BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS
• Simulating Hamiltonian Dynamics
• Transport Map Accelerated Markov Chain Monte Carlo
• Direct Methods for Sparse Linear Systems
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods
• Particle Markov Chain Monte Carlo Methods
• Gaussian Markov Random Fields
• A General Metric for Riemannian Manifold Hamiltonian Monte Carlo
• Estimating Macroeconomic Models: A Likelihood Approach
• Monte Carlo strategies in scientific computing
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item