Tuning diagonal scale matrices for HMC

DOI10.1007/S11222-024-10494-6MaRDI QIDQ6643235zbMATH OpenFDO

Authors Jimmy Huy Tran, Tore Selland Kleppe

Publication date 26 November 2024

Published in Statistics and Computing (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S11222-024-10494-6

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Monte Carlo methods (65C05)

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• Geometric integrators and the Hamiltonian Monte Carlo method
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• Unobserved components and time series econometrics

Cited in

(1)

• Optimizing the diffusion coefficient of overdamped Langevin dynamics

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