Markov chain Monte Carlo sampling using a reservoir method

DOI10.1016/J.CSDA.2019.05.001MaRDI QIDQ2002718zbMATH OpenOpenAlexFDO

Authors Zhonglei Wang

Publication date 12 July 2019

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

Full work available at URL https://doi.org/10.1016/j.csda.2019.05.001

zbMATH Keywords

convergenceMetropolis-Hastings algorithmremoval procedurestochastic thinning

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05)

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Cites work

• Adaptive Rejection Metropolis Sampling within Gibbs Sampling
• Bayesian data analysis.
• Equation of state calculations by fast computing machines
• Faster methods for random sampling
• Inference from iterative simulation using multiple sequences
• Markov chains for exploring posterior distributions. (With discussion)
• Measure Theory and Probability Theory
• Monte Carlo sampling methods using Markov chains and their applications
• Random sampling with a reservoir
• Riemann manifold Langevin and Hamiltonian Monte Carlo methods. With discussion and authors' reply
• Sampling-Based Approaches to Calculating Marginal Densities
• Slice sampling. (With discussions and rejoinder)
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• The Multiple-Try Method and Local Optimization in Metropolis Sampling
• Weighted random sampling with a reservoir

Cited in

(5)

• Exact recording of Metropolis-Hastings-class Monte Carlo simulations using one bit per sample
• Random sampling with a reservoir
• Alternating Subspace-Spanning Resampling to Accelerate Markov Chain Monte Carlo Simulation
• Markov Sampling
• Resampling from the past to improve on MCMC algorithms

Describes a project that uses

Uses Software

• BayesDA

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