Metropolis‐Hastings Importance Sampling Estimator. Issue 1 (15th March 2018)
- Record Type:
- Journal Article
- Title:
- Metropolis‐Hastings Importance Sampling Estimator. Issue 1 (15th March 2018)
- Main Title:
- Metropolis‐Hastings Importance Sampling Estimator
- Authors:
- Rudolf, Daniel
Sprungk, Björn - Abstract:
- Abstract: Based on the proposed states of the Metropolis‐Hastings (MH) algorithm we construct a MH Importance Sampling estimator for the approximation of expectations. The new approximation scheme is asymptotically correct and numerical experiments indicate that it can outperform the classical MH Markov chain Monte Carlo estimator. (© 2017 Wiley‐VCH Verlag GmbH & Co. KGaA, Weinheim)
- Is Part Of:
- Proceedings in applied mathematics and mechanics. Volume 17:Issue 1(2017)
- Journal:
- Proceedings in applied mathematics and mechanics
- Issue:
- Volume 17:Issue 1(2017)
- Issue Display:
- Volume 17, Issue 1 (2017)
- Year:
- 2017
- Volume:
- 17
- Issue:
- 1
- Issue Sort Value:
- 2017-0017-0001-0000
- Page Start:
- 731
- Page End:
- 734
- Publication Date:
- 2018-03-15
- Subjects:
- Applied mathematics -- Periodicals
Engineering mathematics -- Periodicals
Mathematical physics -- Periodicals
519 - Journal URLs:
- http://www.onlinelibrary.wiley.com/journal/10.1002/(ISSN)1617-7061 ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1002/pamm.201710334 ↗
- Languages:
- English
- ISSNs:
- 1617-7061
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 6842.471350
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 9060.xml