Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods

DOI10.1016/J.JECONOM.2003.12.002MaRDI QIDQ1886281zbMATH OpenOpenAlexFDO

Authors Luc Bauwens, Charles S. Bos, Rutger D. van Oest, Herman K. Van Dijk

Publication date 18 November 2004

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://repub.eur.nl/pub/1722

zbMATH Keywords

Markov chain Monte CarloImportance samplingRadial coordinates

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20) Numerical analysis or methods applied to Markov chains (65C40)

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• Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
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• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
• Monte Carlo methods in Bayesian computation
• Posterior moments computed by mixed integration
• SISAM and MIXIN: Two algorithms for the computation of posterior moments and densities using Monte Carlo integration
• Spherical-Radial Integration Rules for Bayesian Computation
• Testing for integration using evolving trend and seasonals models: A Bayesian approach.
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• Using simulation methods for bayesian econometric models: inference, development,and communication

Cited in

(13)

• Hit and run ARMS: adaptive rejection Metropolis sampling with hit and run random direction
• Importance sampling from posterior distributions using copula-like approximations
• On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks
• Striated Metropolis-Hastings sampler for high-dimensional models
• A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
• On Bayesian analysis and computation for functions with monotonicity and curvature restrictions
• Unconstrained Cholesky-based parametrization of correlation matrices
• Multi-objective optimization using statistical models
• Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
• Convergence of adaptive direction sampling
• Measures of global sensitivity in linear programming: applications in banking sector
• Bayesian inference for the mixed conditional heteroskedasticity model
• Adaptive rejection Metropolis sampling using Lagrange interpolation polynomials of degree 2

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