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, https://repub.eur.nl/pub/1722/feweco20030806161348.pdf

zbMATH Keywords

Importance samplingMarkov chain Monte CarloRadial 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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Cites work

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

(13)

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

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