Journal article
Antithetic Methods for Gibbs Samplers
- Abstract:
-
In this article we propose a modification to the output fromMetropolis-within-Gibbs samplers that can lead to substantial reductions in the variance over standard estimates. The idea is simple: at each time step of the algorithm, introduce an extra sample into the estimate that is negatively correlated with the current sample, the rationale being that this provides a two-sample numerical approximation to a Rao-Blackwellized estimate. As the conditional sampling distribution at each step has a...
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- Publication status:
- Published
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- Publisher copy:
- 10.1198/jcgs.2009.07065
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Authors
Bibliographic Details
- Journal:
- JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS
- Volume:
- 18
- Issue:
- 2
- Pages:
- 401-414
- Publication date:
- 2009-06-01
- DOI:
- EISSN:
-
1537-2715
- ISSN:
-
1061-8600
- Source identifiers:
-
115988
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
pubs:115988
- UUID:
-
uuid:73ff96c3-64c1-4fb4-bde3-0ec53952ff58
- Local pid:
- pubs:115988
- Deposit date:
- 2012-12-19
Terms of use
- Copyright date:
- 2009
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