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

DOI10.1214/13-BA801MaRDI QIDQ907979zbMATH OpenOpenAlexWikidataFDO

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

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

copulaMetropolis-Hastings algorithmvineadaptive MCMCparameter inferenceindependence sampling

Mathematics Subject Classification ID

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

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