Over-relaxation methods and coupled Markov chains for Monte Carlo simulation

DOI10.1023/A:1013112103963zbMath1247.62134OpenAlexW1545617076MaRDI QIDQ451225

Julian Stander, Giovanni Sebastiani, Piero Barone

Publication date: 23 September 2012

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

Full work available at URL: https://doi.org/10.1023/a:1013112103963

zbMATH Keywords

spectral radiusGibbs samplercoupled algorithms

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Random number generation in numerical analysis (65C10)

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General over-relaxation Markov chain Monte Carlo algorithms for Gaussian densities

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