Control Variates for the Metropolis-Hastings Algorithm
نویسندگان
چکیده
منابع مشابه
Norges Teknisk-naturvitenskapelige Universitet Control Variates for the Metropolis-hastings Algorithm Control Variates for the Metropolis-hastings Algorithm
We propose new control variates for variance reduction in the Metropolis–Hastings algorithm. We use variates that are functions of both the current state of the Markov chain and the proposed new state. This enable us to specify control variates which have known mean values for general target and proposal distributions. We develop the ideas for both the standard Metropolis–Hastings algorithm and...
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ژورنال
عنوان ژورنال: Scandinavian Journal of Statistics
سال: 2008
ISSN: 0303-6898,1467-9469
DOI: 10.1111/j.1467-9469.2008.00601.x