Wavelet Monte Carlo: a principle for sampling from complex distributions

DOI10.1007/S11222-023-10256-WMaRDI QIDQ6172147zbMATH OpenOpenAlexFDO

Authors Walter R. Gilks, Lukas Cironis, S. Barber

Publication date 16 August 2023

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/s11222-023-10256-w

zbMATH Keywords

Monte Carlo integrationstatistical sampling algorithmsurvival analysiswavelet decomposition

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Computational methods for problems pertaining to statistics (62-08) Monte Carlo methods (65C05)

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Cites work

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• Optimal scaling of the random walk Metropolis on elliptically symmetric unimodal targets
• Orthonormal bases of compactly supported wavelets
• Ten Lectures on Wavelets
• Wavelet methods in statistics with R

Cited in

(1)

• A Fourier-wavelet Monte Carlo method for fractal random fields

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