Journal article
The correlated pseudomarginal method
- Abstract:
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The pseudomarginal algorithm is a Metropolis–Hastings‐type scheme which samples asymptotically from a target probability density when we can only estimate unbiasedly an unnormalized version of it. In a Bayesian context, it is a state of the art posterior simulation technique when the likelihood function is intractable but can be estimated unbiasedly by using Monte Carlo samples. However, for the performance of this scheme not to degrade as the number T of data points increases, it is typicall...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
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(Accepted manuscript, pdf, 2.4MB)
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- Publisher copy:
- 10.1111/rssb.12280
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Authors
Funding
+ Engineering and Physical Sciences Research Council
More from this funder
Funding agency for:
Doucet, A
Grant:
EP/K000276/1
Bibliographic Details
- Publisher:
- Royal Statistical Society Publisher's website
- Journal:
- Journal of the Royal Statistical Society: Series B Journal website
- Volume:
- 80
- Issue:
- 5
- Pages:
- 839-870
- Publication date:
- 2018-07-29
- Acceptance date:
- 2018-05-30
- DOI:
- EISSN:
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1467-9868
- ISSN:
-
1369-7412
- Source identifiers:
-
857183
Item Description
- Keywords:
- Pubs id:
-
pubs:857183
- UUID:
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uuid:46ff3eac-4620-460e-85f9-e27a714044e8
- Local pid:
- pubs:857183
- Deposit date:
- 2018-06-14
Terms of use
- Copyright holder:
- Royal Statistical Society
- Copyright date:
- 2018
- Notes:
- Copyright © 2018 Royal Statistical Society. This is the accepted manuscript version of the article. The final version is available online from the Royal Statistical Society at: https://doi.org/10.1111/rssb.12280
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