Density Estimation for the Metropolis–Hastings Algorithm

DOI10.1111/1467-9469.00359MaRDI QIDQ4828214zbMATH OpenOpenAlexFDO

Authors Gareth O. Roberts, Martin Sköld

Publication date 24 November 2004

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

Full work available at URL https://doi.org/10.1111/1467-9469.00359

zbMATH Keywords

kernel density estimationbandwidth selectionMarkov chain Monte Carlo method

Mathematics Subject Classification ID

Density estimation (62G07) Numerical analysis or methods applied to Markov chains (65C40)

Recommendations

• Improving Convergence of the Hastings–Metropolis Algorithm with an Adaptive Proposal
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• On the convergence of the Metropolis-Hastings Markov chains
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Cites work

• scientific article; zbMATH DE number 1082208 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 840151 (Why is no real title available?)
• Estimation of integrated squared density derivatives
• Nonparametric statistics for stochastic processes
• On bandwidth choice for density estimation with dependent data
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(12)

• The spectrum of the independent Metropolis-Hastings algorithm
• Improving Convergence of the Hastings–Metropolis Algorithm with an Adaptive Proposal
• On a Metropolis-Hastings importance sampling estimator
• Smoothness of Metropolis-Hastings algorithm and application to entropy estimation
• Hastings-Metropolis algorithms and reference measures
• Approximate maximum likelihood estimation of the autologistic model
• A simple approach to maximum intractable likelihood estimation
• Using a Markov Chain to Construct a Tractable Approximation of an Intractable Probability Distribution
• Improving density estimators of discretely observed processes by interpolation
• Bayesian inference of a parametric random spheroid from its orthogonal projections
• Predictive Inference Based on Markov Chain Monte Carlo Output
• Asymptotic properties of parallel Bayesian kernel density estimators

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