Perfect Forward Simulation via Simulated Tempering

DOI10.1080/03610910600716753zbMath1128.65001OpenAlexW2043880717MaRDI QIDQ5481741

Jeffrey S. Rosenthal, Stephen P. Brooks, Yanan Fan

Publication date: 10 August 2006

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

Full work available at URL: https://doi.org/10.1080/03610910600716753

zbMATH Keywords

autoregressive time seriessmall setscoupling from the pastregenerationMarkov chain Monte Carlo (MCMC) schemeband-return datareversible jumping MCMC

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Randomized algorithms (68W20)

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