Monte Carlo integration with Markov chain

DOI10.1016/J.JSPI.2007.07.013zbMATH Open1134.62059OpenAlexW2118323142MaRDI QIDQ2427151FDOQ2427151

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

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• scientific article; zbMATH DE number 822897

zbMATH Keywords

Markov chain Monte Carlovariance estimationimportance samplingpartial likelihoodstratificationGibbs sampling

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)

Cites Work

• Inference from iterative simulation using multiple sequences
• Empirical distributions in selection bias models
• The Calculation of Posterior Distributions by Data Augmentation
• Partial likelihood
• Bayesian Analysis of Binary and Polychotomous Response Data
• Marginal Likelihood from the Gibbs Output
• Sampling-Based Approaches to Calculating Marginal Densities
• Title not available (Why is that?)
• Monte Carlo strategies in scientific computing
• Generalised Gibbs sampler and multigrid Monte Carlo for Bayesian computation
• Parameter Expansion for Data Augmentation
• Simulating normalizing constants: From importance sampling to bridge sampling to path sampling
• Computing Bayes Factors by Combining Simulation and Asymptotic Approximations
• A Theory of Statistical Models for Monte Carlo Integration
• Regression-type inference in nonparametric autoregression
• On a Likelihood Approach for Monte Carlo Integration

Cited In (9)

• Layer sampling
• Numerical Integration using Markov Chains
• Title not available (Why is that?)
• On the Markov chain Monte Carlo (MCMC) method
• Simple Monte Carlo integration with respect to Bernoulli convolutions.
• Multivariate initial sequence estimators in Markov chain Monte Carlo
• Putting Markov chains back into Markov chain Monte Carlo
• Markov chain Monte Carlo estimation of quantiles
• On a Likelihood Approach for Monte Carlo Integration

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