Optimizing random scan Gibbs samplers
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- Amit, Y. & Grenander, U., 1991. "Comparing sweep strategies for stochastic relaxation," Journal of Multivariate Analysis, Elsevier, vol. 37(2), pages 197-222, May.
- 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.
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Cited by:
- Johnson, Alicia A. & Jones, Galin L., 2015. "Geometric ergodicity of random scan Gibbs samplers for hierarchical one-way random effects models," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 325-342.
- Hugh Christensen & Simon Godsill & Richard E Turner, 2020. "Hidden Markov Models Applied To Intraday Momentum Trading With Side Information," Papers 2006.08307, arXiv.org.
- Chen, Shyh-Huei & Ip, Edward H. & Wang, Yuchung J., 2011. "Gibbs ensembles for nearly compatible and incompatible conditional models," Computational Statistics & Data Analysis, Elsevier, vol. 55(4), pages 1760-1769, April.
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Keywords
Markov chain Monte Carlo Adaptive sweep strategies Decision theory Minimax risk Deterministic scan Gibbs sampler;Statistics
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