A vine-copula based adaptive MCMC sampler for efficient inference of dynamical systems

DOI10.1214/13-BA801zbMATH Open1329.62143OpenAlexW2072429347WikidataQ59682327 ScholiaQ59682327MaRDI QIDQ907979FDOQ907979

Authors: Daniel Schmidl, Claudia Czado, Sabine Hug, Fabian J. Theis 

Publication date: 2 February 2016

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ba/1362406647

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zbMATH Keywords

copulaMetropolis-Hastings algorithmvineadaptive MCMCparameter inferenceindependence sampling

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Nonparametric estimation (62G05) Sampling theory, sample surveys (62D05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Simulation of dynamical systems (37M05)

Cited In (3)

• Adaptive Metropolis-Hastings sampling using reversible dependent mixture proposals
• Sequential Monte Carlo samplers with independent Markov chain Monte Carlo proposals
• High-dimensional Bayesian parameter estimation: case study for a model of JAK2/STAT5 signaling

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