Perfect Forward Simulation via Simulated Tempering

DOI10.1080/03610910600716753MaRDI QIDQ5481741zbMATH OpenOpenAlexFDO

Authors Jeffrey S. Rosenthal, S. P. Brooks, Yanan Fan

Publication date 10 August 2006

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610910600716753

zbMATH Keywords

regenerationcoupling from the pastsmall setsautoregressive time seriesMarkov chain Monte Carlo (MCMC) schemeband-return datareversible jumping MCMC

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Randomized algorithms (68W20)

Recommendations

• Notes on perfect simulation
• Catalytic perfect simulation
• Simulated tempering and swapping on mean-field models
• scientific article; zbMATH DE number 1522710
• Weight-preserving simulated tempering

Cites work

• scientific article; zbMATH DE number 1545677 (Why is no real title available?)
• scientific article; zbMATH DE number 837692 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
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• Efficient Construction of Reversible Jump Markov Chain Monte Carlo Proposal Distributions
• Exact Sampling from a Continuous State Space
• Exact sampling with coupled Markov chains and applications to statistical mechanics
• Exponential convergence of Langevin distributions and their discrete approximations
• General Irreducible Markov Chains and Non-Negative Operators
• How to couple from the past using a read-once source of randomness
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• Markov chains and stochastic stability
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• SMALL AND PSEUDO-SMALL SETS FOR MARKOV CHAINS
• The polar slice sampler

Cited in

(9)

• Perfect simulation and backward coupling^∗
• Model choice using reversible jump Markov chain Monte Carlo
• Likelihood and Non‐parametric Bayesian MCMC Inference for Spatial Point Processes Based on Perfect Simulation and Path Sampling
• Using a Markov Chain to Construct a Tractable Approximation of an Intractable Probability Distribution
• Minimising MCMC variance via diffusion limits, with an application to simulated tempering
• Weight-preserving simulated tempering
• Stochastic adaptive selection of weights in the simulated tempering algorithm
• scientific article; zbMATH DE number 5017183 (Why is no real title available?)
• Tuning tempered transitions

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