AMCMC: an R interface for adaptive MCMC

DOI10.1016/J.CSDA.2007.02.021MaRDI QIDQ1020635zbMATH OpenOpenAlexFDO

Authors Jeffrey S. Rosenthal

Publication date 2 June 2009

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

Full work available at URL https://doi.org/10.1016/j.csda.2007.02.021

zbMATH Keywords

adaptive algorithmsMarkov chain Monte CarloR/C interfacestatistical software

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• Componentwise adaptation for high dimensional MCMC
• Data Analysis Using Stein's Estimator and its Generalizations
• scientific article; zbMATH DE number 3930141 (Why is no real title available?)
• scientific article; zbMATH DE number 1522706 (Why is no real title available?)
• On adaptive Markov chain Monte Carlo algorithms
• On the ergodicity properties of some adaptive MCMC algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• Sampling-Based Approaches to Calculating Marginal Densities

Cited in

(10)

• Editorial: Special issue on statistical algorithms and software
• Interacting sequential Monte Carlo samplers for trans-dimensional simulation
• AMCMC
• Estimating discrete Markov models from various incomplete data schemes
• Automatically tuned general-purpose MCMC via new adaptive diagnostics
• Grapham: graphical models with adaptive random walk Metropolis algorithms
• A Phase I Bayesian Adaptive Design to Simultaneously Optimize Dose and Schedule Assignments Both Between and Within Patients
• Model uncertainty in claims reserving within Tweedie's compound Poisson models
• CircSpaceTime: an R package for spatial and spatio-temporal modelling of circular data
• Optimal Bayesian adaptive design for test-item calibration

Describes a project that uses

Uses Software

• WinBUGS
• mcmc
• R
• BUGS
• Mcmcpack
• OpenBUGS

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