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The correlated pseudomarginal method

Abstract:

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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Publisher copy:
10.1111/rssb.12280

Authors


More by this author
Institution:
University of Oxford
Division:
MPLS Division
Department:
Statistics
Oxford college:
Brasenose College
Role:
Author
More by this author
Institution:
University of Oxford
Division:
MPLS
Department:
Statistics
Oxford college:
Hertford College
Role:
Author
ORCID:
0000-0002-7662-419X
More from this funder
Funding agency for:
Doucet, A
Grant:
EP/K000276/1
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:
1467-9868
ISSN:
1369-7412
Source identifiers:
857183
Keywords:
Pubs id:
pubs:857183
UUID:
uuid:46ff3eac-4620-460e-85f9-e27a714044e8
Local pid:
pubs:857183
Deposit date:
2018-06-14

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