Bayesian inference for irreducible diffusion processes using the pseudo-marginal approach
نویسندگان
چکیده
منابع مشابه
Bayesian Inference for Irreducible Diffusion Processes Using the Pseudo-Marginal Approach
In this article we examine two relatively new MCMC methods which allow for Bayesian inference in diffusion models. First, the Monte Carlo within Metropolis (MCWM) algorithm (O’Neil, Balding, Becker, Serola and Mollison, 2000) uses an importance sampling approximation for the likelihood and yields a limiting stationary distribution that can be made arbitrarily “close” to the posterior distributi...
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ژورنال
عنوان ژورنال: Bayesian Analysis
سال: 2011
ISSN: 1936-0975
DOI: 10.1214/11-ba608