Improving MCMC, using efficient importance sampling
نویسندگان
چکیده
منابع مشابه
Improving MCMC, using efficient importance sampling
This paper develops a systematic Markov Chain Monte Carlo (MCMC) framework based upon E cient Importance Sampling (EIS) which can be used for the analysis of a wide range of econometric models involving integrals without an analytical solution. EIS is a simple, generic and yet accurate Monte-Carlo integration procedure based on sampling densities which are chosen to be global approximations to ...
متن کاملImproving MCMC Using E cient Importance Sampling
This paper develops a systematic Markov Chain Monte Carlo (MCMC) framework based upon E cient Importance Sampling (EIS) which can be used for the analysis of a wide range of econometric models involving integrals without an analytical solution. EIS is a simple, generic and yet accurate Monte-Carlo integration procedure based on sampling densities which are chosen to be global approximations to ...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2008
ISSN: 0167-9473
DOI: 10.1016/j.csda.2008.07.028