کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5095536 | 1376469 | 2016 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Striated Metropolis-Hastings sampler for high-dimensional models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Having efficient and accurate samplers for simulating the posterior distribution is crucial for Bayesian analysis. We develop a generic posterior simulator called the “dynamic striated Metropolis-Hastings (DSMH)” sampler. Grounded in the Metropolis-Hastings algorithm, it pools the strengths from the equi-energy and sequential Monte Carlo samplers while avoiding the weaknesses of the standard Metropolis-Hastings algorithm and those of importance sampling. In particular, the DSMH sampler possesses the capacity to cope with extremely irregular distributions that contain winding ridges and multiple peaks; and it is robust to how the sampling procedure progresses across stages. The high-dimensional application studied in this paper provides a natural platform for testing any generic sampler.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 192, Issue 2, June 2016, Pages 406-420
Journal: Journal of Econometrics - Volume 192, Issue 2, June 2016, Pages 406-420
نویسندگان
Daniel F. Waggoner, Hongwei Wu, Tao Zha,