Zero variance Markov chain Monte Carlo for Bayesian estimators
نویسندگان
چکیده
منابع مشابه
Zero variance Markov chain Monte Carlo for Bayesian estimators
A general purpose variance reduction technique for Markov chain Monte Carlo (MCMC) estimators, based on the zero-variance principle introduced in the physics literature, is proposed to evaluate the expected value, μf , of a function f with respect to a, possibly unnormalized, probability distribution π. In this context, a control variate approach, generally used for Monte Carlo simulation, is e...
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ژورنال
عنوان ژورنال: Statistics and Computing
سال: 2012
ISSN: 0960-3174,1573-1375
DOI: 10.1007/s11222-012-9344-6