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Jump Markov chains and rejection-free Metropolis algorithms

  • Published:2021-03-13 Issue:4 Volume:36 Page:2789-2811
  • ISSN:0943-4062
  • Container-title:Computational Statistics
  • language:en
  • Short-container-title:Comput Stat

Author:

Rosenthal Jeffrey S.ORCID,Dote Aki,Dabiri Keivan,Tamura Hirotaka,Chen Sigeng,Sheikholeslami Ali

Funder

Natural Science and Engineering Research Council of Canada

Fujitsu

Publisher

Springer Science and Business Media LLC

Subject

Computational Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference22 articles.

1. Andrieu C, Roberts GO (2009) The pseudo-marginal approach for efficient Monte Carlo computations. Ann Stat 37(2):697–725

2. Bortz AB, Kalos MH, Lebowitz JL (1975) A new algorithm for Monte Carlo simulation of Ising spin systems. J Comp Phys 17:10–18

3. Brooks S, Gelman A, Jones GL, Meng X-L (eds) (2011) Handbook of Markov chain Monte Carlo. Chapman and Hall/CRC Press, Boca Raton

4. Deligiannidis G, Lee A (2018) Which ergodic averages have finite asymptotic variance? Ann Appl Prob 28(4):2309–2334

5. Douc R, Robert CP (2011) A vanilla Rao-Blackwellization of Metropolis–Hastings algorithms. Ann Stat 39:261–277

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