Regenerative Markov chain importance sampling

DOI10.1080/03610918.2015.1043383MaRDI QIDQ4976578zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3841285 (Why is no real title available?)
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Consistent estimation of the accuracy of importance sampling using regenerative simulation
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• Dynamically Weighted Importance Sampling in Monte Carlo Computation
• Efficiency and Convergence Properties of Slice Samplers
• Efficient parametrisations for normal linear mixed models
• Exact sampling with coupled Markov chains and applications to statistical mechanics
• Improving MCMC, using efficient importance sampling
• Introducing Monte Carlo Methods with R
• Introduction to Regenerative Simulation
• Layer sampling
• Markov chain importance sampling with applications to rare event probability estimation
• Markov chains and stochastic stability
• Markov chains for exploring posterior distributions. (With discussion)
• Monte Carlo sampling methods using Markov chains and their applications
• Monte Carlo strategies in scientific computing.
• On the applicability of regenerative simulation in Markov chain Monte Carlo
• Regenerative Markov chain Monte Carlo for any distribution
• Self-regenerative Markov chain Monte Carlo with adaptation
• Simulating Stable Stochastic Systems: III. Regenerative Processes and Discrete-Event Simulations
• Understanding the Hastings algorithm

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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