Piecewise deterministic Markov processes for scalable Monte Carlo on restricted domains

Bierkens, Joris and Bouchard-Côté, Alexandre and Doucet, Arnaud and Duncan, Andrew B. and Fearnhead, Paul and Lienart, Thibaut and Roberts, Gareth and Vollmer, Sebastian J. (2018) Piecewise deterministic Markov processes for scalable Monte Carlo on restricted domains. Statistics and Probability Letters, 136. pp. 148-154. ISSN 0167-7152

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Piecewise Deterministic Monte Carlo algorithms enable simulation from a posterior distribution, whilst only needing to access a sub-sample of data at each iteration. We show how they can be implemented in settings where the parameters live on a restricted domain. (C) 2018 Elsevier B.V. All rights reserved.

Item Type:
Journal Article
Journal or Publication Title:
Statistics and Probability Letters
Additional Information:
This is the author’s version of a work that was accepted for publication in Statistics and Probability Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Statistics and Probability Letters, 136, 2018 DOI: 10.1016/j.spl.2018.02.021
Uncontrolled Keywords:
?? mcmcbayesian statisticspiecewise deterministic markov processeslogistic regressionleast-squaresstatistics and probabilitystatistics, probability and uncertainty ??
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19 Jan 2017 16:54
Last Modified:
15 Jul 2024 16:45