AMCMC: an R interface for adaptive MCMC

DOI10.1016/j.csda.2007.02.021zbMath1203.62001MaRDI QIDQ1020635

Jeffrey S. Rosenthal

Publication date: 2 June 2009

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

Full work available at URL: https://doi.org/10.1016/j.csda.2007.02.021

zbMATH Keywords

Markov chain Monte Carlo; adaptive algorithms; statistical software; R/C interface

Mathematics Subject Classification ID

62-04: Software, source code, etc. for problems pertaining to statistics

65C40: Numerical analysis or methods applied to Markov chains

Related Items

AMCMC, Optimal Bayesian adaptive design for test-item calibration, Editorial: Special issue on statistical algorithms and software, Interacting sequential Monte Carlo samplers for trans-dimensional simulation, Estimating discrete Markov models from various incomplete data schemes, Automatically tuned general-purpose MCMC via new adaptive diagnostics, Grapham: graphical models with adaptive random walk Metropolis algorithms, A Phase I Bayesian Adaptive Design to Simultaneously Optimize Dose and Schedule Assignments Both Between and Within Patients, Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models

Uses Software

• R
• WinBUGS
• BUGS
• Mcmcpack
• OpenBUGS
• mcmc

Cites Work

• Unnamed Item
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• On adaptive Markov chain Monte Carlo algorithms
• On the ergodicity properties of some adaptive MCMC algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• Componentwise adaptation for high dimensional MCMC
• Sampling-Based Approaches to Calculating Marginal Densities
• Data Analysis Using Stein's Estimator and its Generalizations