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Roberts, Gareth O. and Rosenthal, Jeffrey S. (Jeffrey Seth) (2009) Examples of adaptive MCMC. Journal of Computational and Graphical Statistics, Vol.18 (No.2). pp. 349-367. doi:10.1198/jcgs.2009.06134 ISSN 1061-8600.
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Official URL: http://dx.doi.org/10.1198/jcgs.2009.06134
Abstract
We investigate the use of adaptive MCMC algorithms to automatically tune the Markov chain parameters during a run. Examples include the Adaptive Metropolis (AM) multivariate algorithm of Haario, Saksman, and Tamminen (2001), Metropolis-within-Gibbs algorithms for nonconjugate hierarchical models, regionally adjusted Metropolis algorithms, and logarithmic scalings. Computer simulations indicate that the algorithms perform very well compared to nonadaptive algorithms, even in high dimension.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Journal of Computational and Graphical Statistics | ||||
Publisher: | American Statistical Association | ||||
ISSN: | 1061-8600 | ||||
Official Date: | 2009 | ||||
Dates: |
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Volume: | Vol.18 | ||||
Number: | No.2 | ||||
Page Range: | pp. 349-367 | ||||
DOI: | 10.1198/jcgs.2009.06134 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published |
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