Grapham: graphical models with adaptive random walk Metropolis algorithms

DOI10.1016/J.CSDA.2009.09.001MaRDI QIDQ2445573zbMATH OpenOpenAlexWikidataFDO

Authors Matti Vihola

Publication date 14 April 2014

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0811.4095

Mathematics Subject Classification ID

Software, source code, etc. for problems pertaining to statistics (62-04) Graphical methods in statistics (62A09)

Abstract: Recently developed adaptive Markov chain Monte Carlo (MCMC) methods have been applied successfully to many problems in Bayesian statistics. Grapham is a new open source implementation covering several such methods, with emphasis on graphical models for directed acyclic graphs. The implemented algorithms include the seminal Adaptive Metropolis algorithm adjusting the proposal covariance according to the history of the chain and a Metropolis algorithm adjusting the proposal scale based on the observed acceptance probability. Different variants of the algorithms allow one, for example, to use these two algorithms together, employ delayed rejection and adjust several parameters of the algorithms. The implemented Metropolis-within-Gibbs update allows arbitrary sampling blocks. The software is written in C and uses a simple extension language Lua in configuration.

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Cited in

(6)

• Automatically tuned general-purpose MCMC via new adaptive diagnostics
• Estimating discrete Markov models from various incomplete data schemes
• Robust adaptive Metropolis algorithm with coerced acceptance rate
• AMCMC: an R interface for adaptive MCMC
• A Metropolis-Hastings based method for sampling from the \(G\)-Wishart distribution in Gaussian graphical models
• scientific article; zbMATH DE number 6253970 (Why is no real title available?)

Describes a project that uses

Uses Software

• Blaise
• SFMT
• Lua
• Grapham
• bnsoft
• BUGS
• Netlib
• LINPACK
• AMCMC
• Octave
• R

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