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Grapham: Graphical models with adaptive random walk Metropolis algorithms

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  • Vihola, Matti

Abstract

Recently developed adaptive Markov chain Monte Carlo (MCMC) methods have been applied successfully to many problems in Bayesian statistics. Grapham is a new open source implementation covering several such methods, with emphasis on graphical models for directed acyclic graphs. The implemented algorithms include the seminal Adaptive Metropolis algorithm adjusting the proposal covariance according to the history of the chain and a Metropolis algorithm adjusting the proposal scale based on the observed acceptance probability. Different variants of the algorithms allow one, for example, to use these two algorithms together, employ delayed rejection and adjust several parameters of the algorithms. The implemented Metropolis-within-Gibbs update allows arbitrary sampling blocks. The software is written in C and uses a simple extension language Lua in configuration.

Suggested Citation

  • Vihola, Matti, 2010. "Grapham: Graphical models with adaptive random walk Metropolis algorithms," Computational Statistics & Data Analysis, Elsevier, vol. 54(1), pages 49-54, January.
    • Handle: RePEc:eee:csdana:v:54:y:2010:i:1:p:49-54
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    References listed on IDEAS

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    1. Christophe Andrieu & Christian P, Robert, 2001. "Controlled MCMC for Optimal Sampling," Working Papers 2001-33, Center for Research in Economics and Statistics.
    2. Rosenthal, Jeffrey S., 2007. "AMCMC: An R interface for adaptive MCMC," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5467-5470, August.
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    Cited by:

    1. Pasanisi, Alberto & Fu, Shuai & Bousquet, Nicolas, 2012. "Estimating discrete Markov models from various incomplete data schemes," Computational Statistics & Data Analysis, Elsevier, vol. 56(9), pages 2609-2625.

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