نتایج جستجو برای: mcmc
تعداد نتایج: 4784 فیلتر نتایج به سال:
In many modern applications, difficulty in evaluating the posterior density makes performing even a single MCMC step slow. This difficulty can be caused by intractable likelihood functions, but also appears for routine problems with large data sets. Many researchers have responded by running approximate versions of MCMC algorithms. In this note, we develop quantitative bounds for showing the er...
We propose a general MCMC method for Bayesian inference in logic-based probabilistic modeling. It covers a broad class of generative models including Bayesian networks and PCFGs. The idea is to generalize an MCMC method for PCFGs to the one for a Turing-complete probabilistic modeling language PRISM in the context of statistical abduction where parse trees are replaced with explanations. We des...
In this paper we propose a Bayesian method for estimating hyperbolic diffusion models. The approach is based on the Markov Chain Monte Carlo (MCMC) method after discretization via the Milstein scheme. Our simulation study shows that the hyperbolic diffusion exhibits many of the stylized facts about asset returns documented in the financial econometrics literature, such as a slowly declining aut...
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