Control Variates for the Metropolis–Hastings Algorithm

DOI10.1111/j.1467-9469.2008.00601.xzbMath1199.65018OpenAlexW1985217674MaRDI QIDQ5324876

Hugo Hammer, Håkon Tjelmeland

Publication date: 8 August 2009

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

Full work available at URL: http://cds.cern.ch/record/975803

zbMATH Keywords

Markov chain Monte Carlovariance reductionMetropolis-Hastings algorithmmathematical expectationbiological datarejected stateTokyo rainfalls data

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Applications of statistics to environmental and related topics (62P12) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Related Items

Zero variance differential geometric Markov chain Monte Carlo algorithms, Scalable Control Variates for Monte Carlo Methods Via Stochastic Optimization, Convergence rates for a class of estimators based on Stein's method, Exploiting multi-core architectures for reduced-variance estimation with intractable likelihoods, Variance reduction for Metropolis-Hastings samplers

Uses Software

• GMRFLib

Cites Work

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