Automatically tuned general-purpose MCMC via new adaptive diagnostics

DOI10.1007/S00180-016-0682-2MaRDI QIDQ2358921zbMATH OpenOpenAlexFDO

Authors Jinyoung Yang, Jeffrey S. Rosenthal

Publication date 27 June 2017

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-016-0682-2

zbMATH Keywords

ergodicityMarkov chainadaptive MCMCconvergence diagnostics

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Discrete-time Markov processes on general state spaces (60J05)

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Cites work

• scientific article; zbMATH DE number 370368 (Why is no real title available?)
• AMCMC: an R interface for adaptive MCMC
• An adaptive Metropolis algorithm
• Convergence of adaptive and interacting Markov chain Monte Carlo algorithms
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• Equation of state calculations by fast computing machines
• General state space Markov chains and MCMC algorithms
• Grapham: graphical models with adaptive random walk Metropolis algorithms
• Handbook of Markov Chain Monte Carlo
• Inference from iterative simulation using multiple sequences
• Monte Carlo sampling methods using Markov chains and their applications
• On adaptive Markov chain Monte Carlo algorithms
• On the efficiency of adaptive MCMC algorithms
• On the ergodicity properties of some adaptive MCMC algorithms
• Optimal proposal distributions and adaptive MCMC
• Optimal scaling for various Metropolis-Hastings algorithms.
• Optimal scaling of random walk Metropolis algorithms with discontinuous target densities
• Robust Empirical Bayes Analyses of Event Rates
• Robust adaptive Metropolis algorithm with coerced acceptance rate
• Sampling-Based Approaches to Calculating Marginal Densities
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(1)

• Accelerating adaptation in the adaptive Metropolis–Hastings random walk algorithm

Describes a project that uses

Uses Software

• adaptMCMC
• atmcmc
• ramcmc
• mcmc
• FME
• Grapham
• OpenBUGS
• BUGS
• BGX
• AMCMC
• R

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