搜索结果: 1-15 共查到“管理学 Markov Chain Monte Carlo”相关记录17条 . 查询时间(0.109 秒)
Coupled coarse graining and Markov Chain Monte Carlo for lattice systems
Markov chain monte carlo random lattice model the short-range particles energy
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2014/12/24
We propose an efficient Markov Chain Monte Carlo method for sampling equilibrium distributions for stochastic lattice models, capable of handling correctly long and short-range particle interactions. ...
Inference in Kingman's Coalescent with Particle Markov Chain Monte Carlo Method
Inference Kingman's Coalescent with Particle Markov Chain Monte Carlo Method
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2013/6/13
We propose a new algorithm to do posterior sampling of Kingman's coalescent, based upon the Particle Markov Chain Monte Carlo methodology. Specifically, the algorithm is an instantiation of the Partic...
Improving the Asymptotic Performance of Markov Chain Monte-Carlo by Inserting Vortices
Inserting Vortices Markov Chain Monte-Carlo Asymptotic Performance
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2012/11/23
We present a new way of converting a reversible finite Markov chain into a non-reversible one, with a theoretical guarantee that the asymptotic variance of the MCMC estimator based on the non-reversib...
Adaptive Markov Chain Monte Carlo confidence intervals
Adaptive Markov Chain Monte Carlo confidence intervals
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2012/11/22
In Adaptive Markov Chain Monte Carlo (AMCMC) simulation, classical estimators of asymptotic variances are inconsistent in general. In this work we establish that despite this inconsistency, confidence...
Adaptive Markov Chain Monte Carlo for Auxiliary Variable Method and Its Application to Parallel Tempering
Adaptive Markov Chain Monte Carlo Auxiliary Variable Method Parallel Tempering Conver-gence
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2012/9/19
Auxiliary variable methods such as the Parallel Tempering and the cluster Monte Carlo methods generate samples that follow a target distri-bution by using proposal and auxiliary distributions.In sampl...
On nonlinear Markov chain Monte Carlo
Foster–Lyapunov condition interacting Markov chains nonlinear Markov kernels
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2011/7/19
Let $\mathscr{P}(E)$ be the space of probability measures on a measurable space $(E,\mathcal{E})$. In this paper we introduce a class of nonlinear Markov chain Monte Carlo (MCMC) methods for simulatin...
Markov Chain Monte Carlo Based on Deterministic Transformations
Geostatistics High dimension Inverse transfromation Jacobian
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2011/7/6
In this article we propose a novel MCMC method based on deterministic transformations T : X x D --> X where X is the state-space and D is some set which may or may not be a subset of X. We refer to ou...
Markov chain Monte Carlo for exact inference for diffusions
Exact inference Exact simulation Markov chain Monte Carlo Stochastic differential equa-tion Transition density
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2011/3/25
We develop exact Markov chain Monte Carlo methods for discretely-sampled, directly and indirectly observed diffusions. The qualification "exact" refers to the fact that the invariant and limiting dist...
Zero Variance Markov Chain Monte Carlo for Bayesian Estimators
Computation (stat.CO)
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2010/12/17
A general purpose variance reduction technique for Markov chain Monte Carlo estimators based on the zero-variance principle introduced in the physics literature by Assaraf and Caffarel (1999, 2003), i...
Weak Convergence of Markov Chain Monte Carlo Methods and its Application to Regular Gibbs Sampler
Methodology (stat.ME) Statistics Theory (math.ST)
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2010/12/17
In this paper, we introduce the notion of efficiency (consistency) and examine some asymptotic properties of Markov chain Monte Carlo methods. We apply these results to the Gibbs sampler for independe...
Reversible jump Markov chain Monte Carlo
Reversible Jump Markov chain Monte Carlo
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2010/3/9
The reversible jump Markov chain Monte Carlo sampler (Green, 1995) provides a general
framework for Markov chain Monte Carlo (MCMC) simulation in which the dimension of the
parameter space can vary ...
Likelihood-free Markov chain Monte Carlo
Likelihood-free Markov chain Monte Carlo
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2010/3/9
In Bayesian inference, the posterior distribution for parameters 2 is given by (jy) /
(yj)(), where one's prior beliefs about the unknown parameters, as expressed through
the prior distrib...
A History of Markov Chain Monte Carlo——Subjective Recollections from Incomplete Data
History Markov Chain Monte Carlo——Subjective Recollections Incomplete Data
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2010/4/30
In this note we attempt to trace the history and development of Markov chain
Monte Carlo (MCMC) from its early inception in the late 1940’s through its use today.
We see how the earlier stages of th...
Parameter Estimation in Continuous Time Markov Switching Models: A Semi-Continuous Markov Chain Monte Carlo Approach
Bayesian inference data augmentation hidden Markov model
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2009/9/24
In this paper,we combine useful aspects of both approaches.On the one hand,we are inspired by the discretization, where filtering for the state process is possible,on the other hand,we
catch attracti...
EM versus Markov chain Monte Carlo for estimation of hidden Markov models: a computational perspective
hidden Markov model incomplete data missing data EM trans-dimensional Monte Carlo computational statistics
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2009/9/22
Hidden Markov models (HMMs) and related models have become stan-
dard in statistics during the last 15C2 years, with applications in diverse areas
like speech and other statistical signal processing...