Monte Carlo integration with Markov chain

DOI10.1016/J.JSPI.2007.07.013MaRDI QIDQ2427151zbMATH OpenOpenAlexFDO

Authors Zhiqiang Tan

Publication date 8 May 2008

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2007.07.013

zbMATH Keywords

Gibbs samplingimportance samplingMarkov chain Monte Carlopartial likelihoodstratificationvariance estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• A Theory of Statistical Models for Monte Carlo Integration
• Bayesian Analysis of Binary and Polychotomous Response Data
• Computing Bayes Factors by Combining Simulation and Asymptotic Approximations
• Empirical distributions in selection bias models
• Generalised Gibbs sampler and multigrid Monte Carlo for Bayesian computation
• scientific article; zbMATH DE number 840151 (Why is no real title available?)
• Inference from iterative simulation using multiple sequences
• Marginal Likelihood from the Gibbs Output
• Monte Carlo strategies in scientific computing
• On a Likelihood Approach for Monte Carlo Integration
• Parameter Expansion for Data Augmentation
• Partial likelihood
• Regression-type inference in nonparametric autoregression
• Sampling-Based Approaches to Calculating Marginal Densities
• Simulating normalizing constants: From importance sampling to bridge sampling to path sampling
• The Calculation of Posterior Distributions by Data Augmentation

Cited in

(9)

• Simple Monte Carlo integration with respect to Bernoulli convolutions.
• Multivariate initial sequence estimators in Markov chain Monte Carlo
• On the Markov chain Monte Carlo (MCMC) method
• Layer sampling
• scientific article; zbMATH DE number 1560257 (Why is no real title available?)
• On a Likelihood Approach for Monte Carlo Integration
• Markov chain Monte Carlo estimation of quantiles
• Numerical Integration using Markov Chains
• Putting Markov chains back into Markov chain Monte Carlo

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