Improving MCMC, using efficient importance sampling

DOI10.1016/j.csda.2008.07.028zbMath1231.62035OpenAlexW1983781823MaRDI QIDQ961112

Roman Liesenfeld, Jean-Francois Richard

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.07.028

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (7)

Layered adaptive importance sampling ⋮ Multivariate Wishart stochastic volatility and changes in regime ⋮ Efficient high-dimensional importance sampling ⋮ Iterative importance sampling with Markov chain Monte Carlo sampling in robust Bayesian analysis ⋮ Exploratory data analysis and model criticism with posterior plots ⋮ Efficient importance sampling maximum likelihood estimation of stochastic differential equations ⋮ Regenerative Markov Chain Importance Sampling

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