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Implementing componentwise Hastings algorithms

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  • Levine, Richard A.
  • Yu, Zhaoxia
  • Hanley, William G.
  • Nitao, John J.

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  • Levine, Richard A. & Yu, Zhaoxia & Hanley, William G. & Nitao, John J., 2005. "Implementing componentwise Hastings algorithms," Computational Statistics & Data Analysis, Elsevier, vol. 48(2), pages 363-389, February.
    • Handle: RePEc:eee:csdana:v:48:y:2005:i:2:p:363-389
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    References listed on IDEAS

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    1. G. O. Roberts & S. K. Sahu, 1997. "Updating Schemes, Correlation Structure, Blocking and Parameterization for the Gibbs Sampler," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 59(2), pages 291-317.
    2. W. R. Gilks & N. G. Best & K. K. C. Tan, 1995. "Adaptive Rejection Metropolis Sampling Within Gibbs Sampling," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 44(4), pages 455-472, December.
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    Cited by:

    1. Raggi, Davide & Bordignon, Silvano, 2006. "Comparing stochastic volatility models through Monte Carlo simulations," Computational Statistics & Data Analysis, Elsevier, vol. 50(7), pages 1678-1699, April.

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