The data augmentation algorithm: Theory and methodology
نویسنده
چکیده
Assume that the function fX : R → [0,∞) is a probability density function (pdf). Suppose that g : R → R is a function of interest and that we want to know the value of EfXg = ∫ Rp g(x)fX(x) dx, but this integral cannot be computed analytically. There are many ways of approximating such intractable integrals and these include numerical integration, analytical approximations and Monte Carlo methods. In this chapter, we will describe a Markov chain Monte Carlo (MCMC) method called the data augmentation (DA) algorithm.
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تاریخ انتشار 2009