A vine-copula based adaptive MCMC sampler for efficient inference of dynamical systems

DOI10.1214/13-BA801zbMath1329.62143OpenAlexW2072429347WikidataQ59682327 ScholiaQ59682327MaRDI QIDQ907979

Daniel Schmidl, Fabian J. Theis, Claudia Czado, Sabine Hug

Publication date: 2 February 2016

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ba/1362406647

zbMATH Keywords

copulaadaptive MCMCMetropolis-Hastings algorithmparameter inferenceindependence samplingvine

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Nonparametric estimation (62G05) Bayesian inference (62F15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Sampling theory, sample surveys (62D05) Simulation of dynamical systems (37M05)

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