Efficient Construction of Reversible Jump Markov Chain Monte Carlo Proposal Distributions

DOI10.1111/1467-9868.03711zbMath1063.62120OpenAlexW2135459617MaRDI QIDQ4673751

Paolo Giudici, Gareth O. Roberts, Stephen P. Brooks

Publication date: 9 May 2005

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9868.03711

zbMATH Keywords

autoregressive time series Bayesian model selection graphical models optimal scaling mixture modelling Langevin algorithms

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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