Control Variates for the Metropolis–Hastings Algorithm

DOI10.1111/J.1467-9469.2008.00601.XMaRDI QIDQ5324876zbMATH OpenOpenAlexFDO

Authors Hugo Hammer, Håkon Tjelmeland

Publication date 8 August 2009

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL http://cds.cern.ch/record/975803

zbMATH Keywords

Markov chain Monte CarloMetropolis-Hastings algorithmvariance reductionmathematical expectationbiological datarejected stateTokyo rainfalls data

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to biology and medical sciences; meta analysis (62P10) Numerical analysis or methods applied to Markov chains (65C40) Applications of statistics to environmental and related topics (62P12)

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Cites work

• scientific article; zbMATH DE number 3119649 (Why is no real title available?)
• scientific article; zbMATH DE number 472921 (Why is no real title available?)
• scientific article; zbMATH DE number 1085980 (Why is no real title available?)
• scientific article; zbMATH DE number 2148859 (Why is no real title available?)
• A Tutorial on Reversible Jump MCMC with a View toward Applications in QTL-mapping
• Finite Mixture Models for Proportions
• Mode jumping proposals in MCMC
• Monte Carlo sampling methods using Markov chains and their applications
• Monte Carlo strategies in scientific computing
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Optimum Monte-Carlo sampling using Markov chains
• Rao-Blackwellisation of sampling schemes
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination

Cited in

(8)

• Zero variance differential geometric Markov chain Monte Carlo algorithms
• Convergence rates for a class of estimators based on Stein's method
• Scalable Control Variates for Monte Carlo Methods Via Stochastic Optimization
• scientific article; zbMATH DE number 2148859 (Why is no real title available?)
• On the Poisson equation for Metropolis-Hastings chains
• Exploiting multi-core architectures for reduced-variance estimation with intractable likelihoods
• Does waste recycling really improve the multi-proposal Metropolis-Hastings algorithm? An analysis based on control variates
• Variance reduction for Metropolis-Hastings samplers

Describes a project that uses

Uses Software

• GMRFLib

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