Bookcover of On Additive Transformation based Markov Chain Monte Carlo
Booktitle:

On Additive Transformation based Markov Chain Monte Carlo

LAP LAMBERT Academic Publishing (2016-06-14 )

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ISBN-13:

978-3-659-90404-2

ISBN-10:
365990404X
EAN:
9783659904042
Book language:
English
Blurb/Shorttext:
In this book, we introduce a single variable transformation based Markov Chain Monte Carlo approach for simulating from distributions with appreciable dimensional and computational complexity. We present here an introduction and theoretical background to this method, focussing mainly on ergodic behavior (in particular geometric ergodicity) and scaling properties under a large class of target distributions. We also propose an R software (tmcmcR) for modeling our algorithm as well adaptive versions of the algorithm and through our wide ranging simulation studies, show the performance gain of this method to standard Random walk based Metropolis Hastings approaches.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
Kushal Dey
Number of pages:
100
Published on:
2016-06-14
Stock:
Available
Category:
Theory of probability, stochastics, mathematical statistics
Price:
49.90 €
Keywords:
Software, Transformation based MCMC, geometric ergodicity, optimal scaling, adaptive chain

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