Density Estimation for the Metropolis–Hastings Algorithm

DOI10.1111/1467-9469.00359zbMath1055.65020OpenAlexW2024158834MaRDI QIDQ4828214

Gareth O. Roberts, Martin Sköld

Publication date: 24 November 2004

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9469.00359

zbMATH Keywords

Markov chain Monte Carlo methodbandwidth selectionkernel density estimation

Mathematics Subject Classification ID

Related Items (7)

Approximate maximum likelihood estimation of the autologistic model ⋮ Predictive Inference Based on Markov Chain Monte Carlo Output ⋮ A simple approach to maximum intractable likelihood estimation ⋮ Bayesian inference of a parametric random spheroid from its orthogonal projections ⋮ Improving density estimators of discretely observed processes by interpolation ⋮ Asymptotic properties of parallel Bayesian kernel density estimators ⋮ Using a Markov Chain to Construct a Tractable Approximation of an Intractable Probability Distribution

Cites Work

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• Estimation of integrated squared density derivatives
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Nonparametric statistics for stochastic processes
• On bandwidth choice for density estimation with dependent data

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