An efficient proposal distribution for Metropolis–Hastings using a B-splines technique
Author
Abstract
Suggested Citation
DOI: 10.1016/j.csda.2012.07.014
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Gareth O. Roberts & Jeffrey S. Rosenthal, 1998. "Optimal scaling of discrete approximations to Langevin diffusions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 60(1), pages 255-268.
- Petris, Giovanni, 2010. "An R Package for Dynamic Linear Models," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 36(i12).
- Liang F. & Wong W.H., 2001. "Real-Parameter Evolutionary Monte Carlo With Applications to Bayesian Mixture Models," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 653-666, June.
- 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.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Aur'elien Hazan, 2017. "Stock-flow consistent macroeconomic model with nonuniform distributional constraint," Papers 1708.00645, arXiv.org.
- Fabrizio Leisen & Roberto Casarin & David Luengo & Luca Martino, 2013. "Adaptive Sticky Generalized Metropolis," Working Papers 2013:19, Department of Economics, University of Venice "Ca' Foscari".
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- England, Peter, 2002. "Addendum to "Analytic and bootstrap estimates of prediction errors in claims reserving"," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 461-466, December.
- Jorge I. Figueroa-Zúñiga & Cristian L. Bayes & Víctor Leiva & Shuangzhe Liu, 2022. "Robust beta regression modeling with errors-in-variables: a Bayesian approach and numerical applications," Statistical Papers, Springer, vol. 63(3), pages 919-942, June.
- Nathaniel Tomasetti & Catherine Forbes & Anastasios Panagiotelis, 2019.
"Updating Variational Bayes: Fast Sequential Posterior Inference,"
Monash Econometrics and Business Statistics Working Papers
13/19, Monash University, Department of Econometrics and Business Statistics.
- Nathaniel Tomasetti & Catherine Forbes & Anastasios Panagiotelis, 2020. "Updating Variational Bayes: Fast Sequential Posterior Inference," Monash Econometrics and Business Statistics Working Papers 27/20, Monash University, Department of Econometrics and Business Statistics.
- Mamatzakis, Emmanuel C. & Tsionas, Mike G., 2021. "Making inference of British household's happiness efficiency: A Bayesian latent model," European Journal of Operational Research, Elsevier, vol. 294(1), pages 312-326.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004.
"Likelihood-Based Estimation of Latent Generalized ARCH Structures,"
Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, September.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-Based Estimation of Latent Generalised ARCH Structures," Working Papers wp2002_0204, CEMFI.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Fiorentini, Gabriele & Sentana, Enrique & Shephard, Neil, 2003. "Likelihood-based estimation of latent generalised ARCH structures," LSE Research Online Documents on Economics 24852, London School of Economics and Political Science, LSE Library.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre.
- Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003. "Likelihood-based estimation of latent generalised ARCH structures," FMG Discussion Papers dp453, Financial Markets Group.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-based estimation of latent generalised ARCH structures," Economics Papers 2002-W19, Economics Group, Nuffield College, University of Oxford.
- Gael M. Martin & David T. Frazier & Christian P. Robert, 2020. "Computing Bayes: Bayesian Computation from 1763 to the 21st Century," Monash Econometrics and Business Statistics Working Papers 14/20, Monash University, Department of Econometrics and Business Statistics.
- Delis, Manthos D. & Tsionas, Mike G., 2018. "Measuring management practices," International Journal of Production Economics, Elsevier, vol. 199(C), pages 65-77.
- Dalalyan, Arnak S. & Karagulyan, Avetik, 2019.
"User-friendly guarantees for the Langevin Monte Carlo with inaccurate gradient,"
Stochastic Processes and their Applications, Elsevier, vol. 129(12), pages 5278-5311.
- Arnak Dalalyan & Avetik Karagulyan, 2017. "User-friendly guarantees for the Langevin Monte Carlo with inaccurate gradient," Working Papers 2017-20, Center for Research in Economics and Statistics.
- Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos, 2020. "On an integer-valued stochastic intensity model for time series of counts," MPRA Paper 105406, University Library of Munich, Germany.
- Arnak S. Dalalyan, 2017.
"Theoretical guarantees for approximate sampling from smooth and log-concave densities,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(3), pages 651-676, June.
- Arnak S. Dalalyan, 2014. "Theoretical guarantees for approximate sampling from smooth and log-concave densities," Working Papers 2014-45, Center for Research in Economics and Statistics.
- O. F. Christensen & J. Møller & R. P. Waagepetersen, 2001. "Geometric Ergodicity of Metropolis-Hastings Algorithms for Conditional Simulation in Generalized Linear Mixed Models," Methodology and Computing in Applied Probability, Springer, vol. 3(3), pages 309-327, September.
- Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2008. "Determinants of bid and ask quotes and implications for the cost of trading," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 656-678, September.
- H. Abebe & F. Tan & G. Breukelen & M. Berger, 2014. "Robustness of Bayesian D-optimal design for the logistic mixed model against misspecification of autocorrelation," Computational Statistics, Springer, vol. 29(6), pages 1667-1690, December.
- Manabu Asai & Michael McAleer & Jun Yu, 2006.
"Multivariate Stochastic Volatility,"
Microeconomics Working Papers
22058, East Asian Bureau of Economic Research.
- Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
- M Ludkin & C Sherlock, 2023. "Hug and hop: a discrete-time, nonreversible Markov chain Monte Carlo algorithm," Biometrika, Biometrika Trust, vol. 110(2), pages 301-318.
- Tsionas, Mike G. & Michaelides, Panayotis G., 2017.
"Neglected chaos in international stock markets: Bayesian analysis of the joint return–volatility dynamical system,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 482(C), pages 95-107.
- Tsionas, Mike G. & Michaelides, Panayotis G., 2017. "Neglected chaos in international stock markets: Bayesian analysis of the joint return–volatility dynamical system," LSE Research Online Documents on Economics 80749, London School of Economics and Political Science, LSE Library.
- Li, Kan & Luo, Sheng, 2019. "Bayesian functional joint models for multivariate longitudinal and time-to-event data," Computational Statistics & Data Analysis, Elsevier, vol. 129(C), pages 14-29.
- Ahmed Mustafa & Xiao Wei Zhang & Daniel G Aliaga & Martin Bruwier & Gen Nishida & Benjamin Dewals & Sébastian Erpicum & Pierre Archambeau & Michel Pirotton & Jacques Teller, 2020. "Procedural generation of flood-sensitive urban layouts," Environment and Planning B, , vol. 47(5), pages 889-911, June.
- Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Other publications TiSEM 8fe36759-6517-4c66-86fa-e, Tilburg University, School of Economics and Management.
- G. O. Roberts & O. Stramer, 2002. "Langevin Diffusions and Metropolis-Hastings Algorithms," Methodology and Computing in Applied Probability, Springer, vol. 4(4), pages 337-357, December.
More about this item
Keywords
Efficient proposal distribution; Metropolis–Hastings algorithm; B-splines; Gibbs sampling; Markov Chain Monte Carlo;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:57:y:2013:i:1:p:465-478. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.