Using Parallel Computation to Improve Independent Metropolis–Hastings Based Estimation
نویسندگان
چکیده
منابع مشابه
Using parallel computation to improve Independent Metropolis--Hastings based estimation
In this paper, 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–Hastings algorithm that significantly decrease the variance of any estimator derived from the MCMC output...
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ژورنال
عنوان ژورنال: Journal of Computational and Graphical Statistics
سال: 2011
ISSN: 1061-8600,1537-2715
DOI: 10.1198/jcgs.2011.10167