Learning Hamiltonian Monte Carlo in R

DOI10.1080/00031305.2020.1865198OpenAlexW3115570216MaRDI QIDQ5056999

Samuel M. Thomas, Wanzhu Tu

Publication date: 14 December 2022

Published in: The American Statistician (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.16194

zbMATH Keywords

MCMCBayesian computationHamiltonian Monte CarloStan

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• R
• MASS (R)
• WinBUGS
• BUGS
• Mcmcpack
• JAGS
• Stan
• PyMC
• BayesDA
• bayesplot
• Edward
• NUTS

Cites Work

• The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo
• A short history of Markov chain Monte Carlo: Subjective recollections from incomplete data
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Markov chains for exploring posterior distributions. (With discussion)
• Statistical Analysis of Financial Data in S-Plus
• Symplectic integration of Hamiltonian systems
• Handbook of Markov Chain Monte Carlo
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Ecological Statistics
• Equation of State Calculations by Fast Computing Machines
• The Bayesian Choice
• Monte Carlo sampling methods using Markov chains and their applications
• Prior distributions for variance parameters in hierarchical models (Comment on article by Browne and Draper)
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