Perfect Forward Simulation via Simulated Tempering

DOI10.1080/03610910600716753MaRDI QIDQ5481741zbMATHOpenAlexFDO

Authors Jeffrey S. Rosenthal, S. 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

regenerationcoupling from the pastsmall setsautoregressive time seriesMarkov 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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• Notes on perfect simulation
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• scientific article; zbMATH DE number 1522710
• Weight-preserving simulated tempering

Cites work

• scientific article; zbMATH DE number 1545677 (Why is no real title available?)
• scientific article; zbMATH DE number 837692 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
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• Exact Sampling from a Continuous State Space
• Exact sampling with coupled Markov chains and applications to statistical mechanics
• Exponential convergence of Langevin distributions and their discrete approximations
• General Irreducible Markov Chains and Non-Negative Operators
• How to couple from the past using a read-once source of randomness
• Markov chain Monte Carlo model determination for hierarchical and graphical log-linear models
• Markov chains and stochastic stability
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• SMALL AND PSEUDO-SMALL SETS FOR MARKOV CHAINS
• The polar slice sampler

Cited in

(9)

• scientific article; zbMATH DE number 5017183 (Why is no real title available?)
• Perfect simulation and backward coupling^∗
• Using a Markov Chain to Construct a Tractable Approximation of an Intractable Probability Distribution
• Likelihood and Non‐parametric Bayesian MCMC Inference for Spatial Point Processes Based on Perfect Simulation and Path Sampling
• Tuning tempered transitions
• Weight-preserving simulated tempering
• Minimising MCMC variance via diffusion limits, with an application to simulated tempering
• Model choice using reversible jump Markov chain Monte Carlo
• Stochastic adaptive selection of weights in the simulated tempering algorithm

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