Scalable Mcmc For Large Data Problems Using Data Subsampling And The Difference Estimator
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- Matias Quiroz & Robert Kohn & Mattias Villani & Minh-Ngoc Tran, 2019.
"Speeding Up MCMC by Efficient Data Subsampling,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 831-843, April.
- Quiroz, Matias & Villani, Mattias & Kohn, Robert, 2015. "Speeding Up Mcmc By Efficient Data Subsampling," Working Paper Series 297, Sveriges Riksbank (Central Bank of Sweden).
- Kohn, Robert & Quiroz, Matias & Tran, Minh-Ngoc & Villani, Mattias, 2016. "Speeding up MCMC by Efficient Data Subsampling," Working Papers 2123/16205, University of Sydney Business School, Discipline of Business Analytics.
- Pitt, Michael K. & Silva, Ralph dos Santos & Giordani, Paolo & Kohn, Robert, 2012. "On some properties of Markov chain Monte Carlo simulation methods based on the particle filter," Journal of Econometrics, Elsevier, vol. 171(2), pages 134-151.
- A. Doucet & M. K. Pitt & G. Deligiannidis & R. Kohn, 2015. "Efficient implementation of Markov chain Monte Carlo when using an unbiased likelihood estimator," Biometrika, Biometrika Trust, vol. 102(2), pages 295-313.
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More about this item
Keywords
Bayesian inference; Markov Chain Monte Carlo; Pseudo-marginal MCMC; estimated likelihood; GLM for large data.;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
- C83 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Survey Methods; Sampling Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-02-29 (Econometrics)
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