Un algorithme de Hastings-Metropolis avec apprentissage séquentiel

DOI10.1016/S0764-4442(99)80484-4MaRDI QIDQ4267697zbMATH OpenFDO

Authors Didier Chauveau, P. Vandekerkhove

Publication date 11 November 1999

Published in Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

zbMATH Keywords

Markov chain Monte Carlodensity estimationconvergence of Markov processesHastings-Metropolis algorithm

Mathematics Subject Classification ID

Density estimation (62G07) Random number generation in numerical analysis (65C10) Discrete-time Markov processes on general state spaces (60J05)

Recommendations

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Cited in

(7)

• Pseudo-perfect and adaptive variants of the Metropolis–Hastings algorithm with an independent candidate density
• Improving Convergence of the Hastings–Metropolis Algorithm with an Adaptive Proposal
• The Hastings algorithm at fifty
• Understanding the Hastings algorithm
• Bayesian analysis of the logit model and comparison of two Metropolis-Hastings strategies.
• Hastings-Metropolis algorithm on Markov chains for small-probability estimation
• Density Estimation for the Metropolis–Hastings Algorithm

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