MCMC Algorithms for Posteriors on Matrix Spaces

DOI10.1080/10618600.2022.2058953MaRDI QIDQ5057083zbMATH OpenOpenAlexFDO

Authors Alexandros Beskos, Kengo Kamatani

Publication date 15 December 2022

Published in Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2008.02906

zbMATH Keywords

drift conditionmatrix-valued stochastic differential equationpreconditioned Crank-Nicolson

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(4)

• Geodesic Lagrangian Monte Carlo over the space of positive definite matrices: with application to Bayesian spectral density estimation
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• MCMC algorithms for constrained variance matrices
• Matrix-variate Dirichlet process priors with applications

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