Markov chain Monte Carlo: stochastic simulation for Bayesian inference
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London [u.a.]
Chapman & Hall
1997
|
| Edition: | 1. ed. |
| Series: | Chapman & Hall texts in statistical science series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIII, 245 S. graph. Darst. |
| ISBN: | 0412818205 |
Staff View
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Record in the Search Index
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| adam_text | Titel: Markov chain Monte Carlo
Autor: Gamerman, Dani
Jahr: 1997
Contents Preface xi Introduction 1 1 Stochastic simulation 9 1.1 Introduction 9 1.2 Generation of discrete random quantities 10 1.3 Generation of continuous random quantities 13 1.4 Generation of random vectors and matrices 20 1.5 Resampling methods 23 1.6 Exercises 31 2 Bayesian inference 37 2.1 Introduction 37 2.2 Bayes’ theorem 37 2.3 Conjugate distributions 44 2.4 Hierarchical models 54 2.5 Dynamic models 58 2.6 Exercises 63 3 Approximate methods of inference 67 3.1 Introduction 67 3.2 Asymptotic approximations 68 3.3 Approximations by Gaussian quadrature 78 3.4 Monte Carlo integration 81 3.5 Methods based on stochastic simulation 83 3.6 Exercises 88 4 Markov chains 93 4.1 Introduction 93 4.2 Definition and transition probabilities 94 4.3 Decomposition of the state space 98 4.4 Stationary distributions 101 4.5 Limiting theorems 104
x Contents 4.6 Reversible chains 106 4.7 Continuous state spaces 109 4.8 Simulation of a Markov chain 112 4.9 Data augmentation or substitution sampling 115 4.10 Exercises 116 5 Gibbs sampling 119 5.1 Introduction 119 5.2 Definition and properties 120 5.3 Implementation and optimization 124 5.4 Convergence diagnostics 133 5.5 Applications 145 5.6 Software: BUGS, CODA, gibbsit and itsim 150 5.7 Exercises 155 6 Metropolis-Hastings algorithms 161 6.1 Introduction 161 6.2 Definition and properties 162 6.3 Special cases 166 6.4 Hybrid algorithms 169 6.5 Applications 178 6.6 Exercises 189 7 Further topics in MCMC 193 7.1 Introduction 193 7.2 Model adequacy 193 7.3 Model choice 201 7.4 Convergence acceleration 210 7.5 Exercises 217 References 221 Author index 235 Subject index 239
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| author | Gamerman, Dani |
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| dewey-full | 519.2 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
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| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. ed. |
| format | Book |
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| indexdate | 2024-07-09T18:13:52Z |
| institution | BVB |
| isbn | 0412818205 |
| language | English |
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| physical | XIII, 245 S. graph. Darst. |
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| spelling | Gamerman, Dani Verfasser (DE-588)171261372 aut Markov chain Monte Carlo stochastic simulation for Bayesian inference Dani Gamerman 1. ed. London [u.a.] Chapman & Hall 1997 XIII, 245 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Chapman & Hall texts in statistical science series Markov, Processus de Markov-processen gtt Methode van Bayes gtt Metodos de monte carlo larpcal Monte Carlo-methode gtt Monte-Carlo, Méthode de Statistique bayésienne Bayesian statistical decision theory Markov processes Monte Carlo method Monte-Carlo-Simulation (DE-588)4240945-7 gnd rswk-swf Bayes-Entscheidungstheorie (DE-588)4144220-9 gnd rswk-swf Statistische Entscheidungstheorie (DE-588)4077850-2 gnd rswk-swf Markov-Kette (DE-588)4037612-6 gnd rswk-swf Markov-Ketten-Monte-Carlo-Verfahren (DE-588)4508520-1 gnd rswk-swf Bayes-Inferenz (DE-588)4648118-7 gnd rswk-swf Monte-Carlo-Simulation (DE-588)4240945-7 s DE-604 Bayes-Entscheidungstheorie (DE-588)4144220-9 s Statistische Entscheidungstheorie (DE-588)4077850-2 s Markov-Kette (DE-588)4037612-6 s Bayes-Inferenz (DE-588)4648118-7 s Markov-Ketten-Monte-Carlo-Verfahren (DE-588)4508520-1 s 1\p DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007872128&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Gamerman, Dani Markov chain Monte Carlo stochastic simulation for Bayesian inference Markov, Processus de Markov-processen gtt Methode van Bayes gtt Metodos de monte carlo larpcal Monte Carlo-methode gtt Monte-Carlo, Méthode de Statistique bayésienne Bayesian statistical decision theory Markov processes Monte Carlo method Monte-Carlo-Simulation (DE-588)4240945-7 gnd Bayes-Entscheidungstheorie (DE-588)4144220-9 gnd Statistische Entscheidungstheorie (DE-588)4077850-2 gnd Markov-Kette (DE-588)4037612-6 gnd Markov-Ketten-Monte-Carlo-Verfahren (DE-588)4508520-1 gnd Bayes-Inferenz (DE-588)4648118-7 gnd |
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| title | Markov chain Monte Carlo stochastic simulation for Bayesian inference |
| title_auth | Markov chain Monte Carlo stochastic simulation for Bayesian inference |
| title_exact_search | Markov chain Monte Carlo stochastic simulation for Bayesian inference |
| title_full | Markov chain Monte Carlo stochastic simulation for Bayesian inference Dani Gamerman |
| title_fullStr | Markov chain Monte Carlo stochastic simulation for Bayesian inference Dani Gamerman |
| title_full_unstemmed | Markov chain Monte Carlo stochastic simulation for Bayesian inference Dani Gamerman |
| title_short | Markov chain Monte Carlo |
| title_sort | markov chain monte carlo stochastic simulation for bayesian inference |
| title_sub | stochastic simulation for Bayesian inference |
| topic | Markov, Processus de Markov-processen gtt Methode van Bayes gtt Metodos de monte carlo larpcal Monte Carlo-methode gtt Monte-Carlo, Méthode de Statistique bayésienne Bayesian statistical decision theory Markov processes Monte Carlo method Monte-Carlo-Simulation (DE-588)4240945-7 gnd Bayes-Entscheidungstheorie (DE-588)4144220-9 gnd Statistische Entscheidungstheorie (DE-588)4077850-2 gnd Markov-Kette (DE-588)4037612-6 gnd Markov-Ketten-Monte-Carlo-Verfahren (DE-588)4508520-1 gnd Bayes-Inferenz (DE-588)4648118-7 gnd |
| topic_facet | Markov, Processus de Markov-processen Methode van Bayes Metodos de monte carlo Monte Carlo-methode Monte-Carlo, Méthode de Statistique bayésienne Bayesian statistical decision theory Markov processes Monte Carlo method Monte-Carlo-Simulation Bayes-Entscheidungstheorie Statistische Entscheidungstheorie Markov-Kette Markov-Ketten-Monte-Carlo-Verfahren Bayes-Inferenz |
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