Using Parallel Computation to Improve Independent Metropolis-Hastings Based Estimation

In this article, we consider the implications of the fact that parallel raw-power can be exploited by a generic Metropolis-Hastings algorithm if the proposed values are independent from the current value of the Markov chain. In particular, we present improvements to the independent Metropolis-Hastin...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	Journal of computational and graphical statistics 2011, Vol.20 (3), p.616-635
Hauptverfasser:	Jacob, P., Robert, C. P., Smith, M. H.
Format:	Artikel
Sprache:	eng
Schlagworte:	Acceleration Algorithms Computation Computer Science Cost estimates Data Structures and Algorithms Density estimation Estimating techniques Estimators If Monte Carlo Be a Food of Computing, Simulate on Markov analysis Markov chains MCMC algorithm Metropolitan areas Monte Carlo simulation Parallel computing Parallelization Permutation Random generators Rao-Blackwellization Ratios Statistical variance Statistics Studies Toys
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Schreiben Sie den ersten Kommentar!