Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter
نویسندگان
چکیده
منابع مشابه
Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter
Markov chainMonte Carlo (MCMC)methods are powerful computational tools for analysis of complex statistical problems. However, their computational efficiency is highly dependent on the chosen proposal distribution, which is generally difficult to find. One way to solve this problem is to use adaptiveMCMCalgorithmswhich automatically tune the statistics of a proposal distribution during the MCMC ...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2015
ISSN: 0167-9473
DOI: 10.1016/j.csda.2014.10.006