Regenerative Markov chain importance sampling

DOI10.1080/03610918.2015.1043383zbMATH Open1422.62050OpenAlexW2561454390MaRDI QIDQ4976578FDOQ4976578

Authors: Andrew L. Nguyen 

Publication date: 31 July 2017

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2015.1043383

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zbMATH Keywords

MCMCimportance samplingregenerative Markov chainburn-in problem

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Monte Carlo methods (65C05) Sampling theory, sample surveys (62D05)

Cites Work

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• Improving MCMC, using efficient importance sampling
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• On the applicability of regenerative simulation in Markov chain Monte Carlo
• Understanding the Hastings algorithm
• Dynamically Weighted Importance Sampling in Monte Carlo Computation
• Consistent estimation of the accuracy of importance sampling using regenerative simulation
• Layer sampling
• Introduction to Regenerative Simulation
• Regenerative Markov chain Monte Carlo for any distribution

Cited In (5)

• Consistent estimation of the accuracy of importance sampling using regenerative simulation
• Regenerative Markov chain Monte Carlo for any distribution
• Permuted derivative and importance-sampling estimators for regenerative simulations.
• Importance resampling for markov chains
• The importance Markov chain

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