scientific article; zbMATH DE number 2148859

MaRDI QIDQ4660411zbMATH OpenFDO

Authors Yves F. Atchadé, François Perron

Publication date 21 March 2005

zbMATH Keywords

Bayesian estimationcontrol variatesgamma distributionnonlinear regressionsymmetry

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes (62M99) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Recommendations

• Variance reduction of estimators arising from Metropolis-Hastings algorithms
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• A vanilla Rao-Blackwellization of Metropolis-Hastings algorithms
• Rao-Blackwellisation of sampling schemes
• Adaptive independent Metropolis-Hastings

Cited in

(10)

• Variance reduction for Metropolis-Hastings samplers
• On a Metropolis-Hastings importance sampling estimator
• First hitting time analysis of the independence Metropolis sampler
• Does waste recycling really improve the multi-proposal Metropolis-Hastings algorithm? An analysis based on control variates
• On an adaptive version of the Metropolis–Hastings algorithm with independent proposal distribution
• Control Variates for the Metropolis–Hastings Algorithm
• Rao–Blackwellisation in the Markov Chain Monte Carlo Era
• Bayesian feature selection in joint quantile time series analysis
• Variance reduction of estimators arising from Metropolis-Hastings algorithms
• Zero variance differential geometric Markov chain Monte Carlo algorithms

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