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Adaptive Markov Chain Monte Carlo confidence intervals
Adaptive Markov Chain Monte Carlo confidence intervals
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
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...