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On nonlinear Markov chain Monte Carlo
Foster–Lyapunov condition interacting Markov chains nonlinear Markov kernels
2011/7/19
Let $\mathscr{P}(E)$ be the space of probability measures on a measurable space $(E,\mathcal{E})$. In this paper we introduce a class of nonlinear Markov chain Monte Carlo (MCMC) methods for simulatin...
Monte Carlo algorithms for model assessment via conflicting summaries
Metropolis-Hastings Sequential Monte Carlo model choice
2011/7/6
The development of statistical methods and numerical algorithms for model choice is vital to many real-world applications. In practice, the ABC approach can be instrumental for sequential model design...
Markov chain Monte Carlo for exact inference for diffusions
Exact inference Exact simulation Markov chain Monte Carlo Stochastic differential equa-tion Transition density
2011/2/27
We develop exact Markov chain Monte Carlo methods for discretely-sampled, directly and indirectly observed diffusions. The qualification "exact" refers to the fact that the invariant and limiting dist...