메뉴 건너뛰기




Volumn 7, Issue 4, 1992, Pages 473-483

Practical markov chain monte carlo

Author keywords

Central limit theorem; Gibbs sampler; Markov chain; Metropolis Hastings algorithm; Monte Carlo; Variance estimation

Indexed keywords


EID: 84972511893     PISSN: 08834237     EISSN: None     Source Type: Journal    
DOI: 10.1214/ss/1177011137     Document Type: Article
Times cited : (1477)

References (61)
  • 1
    • 44949272138 scopus 로고
    • On rates of convergence of stochastic relaxation for Gaussian and non-Gaussian distributions
    • AMIT, Y. (1991). On rates of convergence of stochastic relaxation for Gaussian and non-Gaussian distributions. J. Multivariate Anal 38 82-99.
    • (1991) J. Multivariate Anal , vol.38 , pp. 82-99
    • Amit, Y.1
  • 2
    • 0011093228 scopus 로고
    • A nonhomogeneous Markov process for the estimation of Gaussian random fields with nonlinear observations
    • AMIT, Y. and PICCIONI, M. (1991). A nonhomogeneous Markov process for the estimation of Gaussian random fields with nonlinear observations. Ann. Probab. 19 1664-1678.
    • (1991) Ann. Probab , vol.19 , pp. 1664-1678
    • Amit, Y.1    Piccioni, M.2
  • 4
    • 0002090746 scopus 로고
    • On the theoretical specification of sampling properties of autocorrelated time series
    • BARTLETT, M. S. (1946). On the theoretical specification of sampling properties of autocorrelated time series. J. Roy. Statist. Soc. Suppl. 8 27-41.
    • (1946) J. Roy. Statist. Soc. Suppl , vol.8 , pp. 27-41
    • Bartlett, M.S.1
  • 5
    • 0000013152 scopus 로고
    • The statistical analysis of dirty pictures (with discussion)
    • BESAG, J. (1986). The statistical analysis of dirty pictures (with discussion). J. Roy. Statist. Soc. Ser. B 48 259-302.
    • (1986) J. Roy. Statist. Soc. Ser. B , vol.48 , pp. 259-302
    • Besag, J.1
  • 6
    • 84947672901 scopus 로고
    • Towards Bayesian image analysis
    • BESAG, J. (1989). Towards Bayesian image analysis. Journal of Applied Statistics 16 395-407.
    • (1989) Journal of Applied Statistics , vol.16 , pp. 395-407
    • Besag, J.1
  • 7
    • 0000875733 scopus 로고
    • Generalized Monte Carlo significance tests
    • BESAG, J. and CLIFFORD, P. (1989). Generalized Monte Carlo significance tests. Biometrika 76 633-642.
    • (1989) Biometrika , vol.76 , pp. 633-642
    • Besag, J.1    Clifford, P.2
  • 8
    • 33751507060 scopus 로고
    • Sequential Monte Carlo p-values
    • BESAG, J. and CLIFFORD, P. (1991). Sequential Monte Carlo p-values. Biometrika 78 301-304.
    • (1991) Biometrika , vol.78 , pp. 301-304
    • Besag, J.1    Clifford, P.2
  • 9
    • 0000103562 scopus 로고
    • Spatial statistics and Bayesian computation (with discussion)
    • To appear
    • BESAG, J. and GREEN, P. J. (1993). Spatial statistics and Bayesian computation (with discussion). J. Roy. Statist. Soc. Ser. B. To appear.
    • (1993) J. Roy. Statist. Soc. Ser. B
    • Besag, J.1    Green, P.J.2
  • 10
    • 28344449679 scopus 로고
    • Bayesian image restoration, with two applications in spatial statistics (with discussion)
    • BESAG, J., YORK, J. and MOLLIE, A. (1991). Bayesian image restoration, with two applications in spatial statistics (with discussion). Ann. Inst. Statist. Math. 43 1-59.
    • (1991) Ann. Inst. Statist. Math , vol.43 , pp. 1-59
    • Besag, J.1    York, J.2    Mollie, A.3
  • 11
    • 21144460710 scopus 로고
    • Asymptotic behavior of the Gibbs samples
    • To appear
    • CHAN, K. S. (1993). Asymptotic behavior of the Gibbs samples. J. Amer. Statist. Assoc. To appear.
    • (1993) J. Amer. Statist. Assoc
    • Chan, K.S.1
  • 12
    • 0002740591 scopus 로고
    • Geometric bounds for eigenvalues of Markov chains
    • DIACONIS, P. and STROOCK, D. (1991). Geometric bounds for eigenvalues of Markov chains. Ann. Appl. Probab. 1 36-61.
    • (1991) Ann. Appl. Probab , vol.1 , pp. 36-61
    • Diaconis, P.1    Stroock, D.2
  • 13
    • 0000484277 scopus 로고
    • Probabilistic measures of adequacy of a numerical search for a global maximum
    • FINCH, S. J., MENDELL, N. R. and THODE, H. C., Jr. (1989). Probabilistic measures of adequacy of a numerical search for a global maximum. J. Amer. Statist. Assoc. 84 1020-1023.
    • (1989) J. Amer. Statist. Assoc , vol.84 , pp. 1020-1023
    • Finch, S.J.1    Mendell, N.R.2    Thode, H.C.3
  • 17
    • 84950453304 scopus 로고
    • Sampling-based approaches to calculating marginal densities
    • GELFAND, A. E. and SMITH A. F. M. (1990). Sampling-based approaches to calculating marginal densities. J. Amer. Statist. Assoc. 85 398-409.
    • (1990) J. Amer. Statist. Assoc , vol.85 , pp. 398-409
    • Gelfand, A.E.1    Smith, A.F.M.2
  • 18
    • 84972492387 scopus 로고
    • Inference from iterative simulation using multiple sequences (with discussion)
    • GELMAN, A. and RUBIN, D. B. (1992). Inference from iterative simulation using multiple sequences (with discussion). Statist. Sci. 7 457-511.
    • (1992) Statist. Sci , vol.7 , pp. 457-511
    • Gelman, A.1    Rubin, D.B.2
  • 20
    • 0001032163 scopus 로고
    • Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments
    • (J. M. Bernado, J. O. Berger, A. P. Dawid and A. F. M. Smith, eds.), Oxford Univ. Press
    • GEWEKE, J. (1992). Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments. In Bayesian Statistics 4 (J. M. Bernado, J. O. Berger, A. P. Dawid and A. F. M. Smith, eds.) 169-193. Oxford Univ. Press.
    • (1992) Bayesian Statistics 4 , pp. 169-193
    • Geweke, J.1
  • 22
    • 0002042037 scopus 로고
    • Technical Report № 568, School of Statistics, Univ. Minnesota
    • GEYER, C. J. (1991b). Reweighting Monte Carlo mixtures. Technical Report № 568, School of Statistics, Univ. Minnesota.
    • (1991) Reweighting Monte Carlo mixtures
    • Geyer, C.J.1
  • 24
    • 0000051109 scopus 로고
    • Constrained Monte Carlo maximum likelihood for dependent data (with discussion)
    • GEYER, C. J. and THOMPSON, E. A. (1992). Constrained Monte Carlo maximum likelihood for dependent data (with discussion). J. Roy. Statist. Soc. Ser. B 54 657-699.
    • (1992) J. Roy. Statist. Soc. Ser. B , vol.54 , pp. 657-699
    • Geyer, C.J.1    Thompson, E.A.2
  • 27
    • 0002455064 scopus 로고
    • Simulation output analysis using standardized time series
    • GLYNN, P. W. and INGLEHART, D. L. (1990). Simulation output analysis using standardized time series. Math. Oper. Res. 15 1-16.
    • (1990) Math. Oper. Res , vol.15 , pp. 1-16
    • Glynn, P.W.1    Inglehart, D.L.2
  • 28
    • 0012625735 scopus 로고
    • Discussion of “Constrained Monte Carlo maximum likelihood for dependent data,” by C. J. Geyer and E. A. Thompson
    • GREEN, P. J. (1992). Discussion of “Constrained Monte Carlo maximum likelihood for dependent data,” by C. J. Geyer and E. A. Thompson. J. Roy. Statist. Soc. Ser. B 54 683-684.
    • (1992) J. Roy. Statist. Soc. Ser. B , vol.54 , pp. 683-684
    • Green, P.J.1
  • 29
    • 0001135568 scopus 로고
    • Metropolis methods, Gaussian proposals, and antithetic variables
    • Springer, Berlin
    • GREEN, P. J. and HAN, X.-L. (1992). Metropolis methods, Gaussian proposals, and antithetic variables. Lecture Notes in Statist. 74 142-164. Springer, Berlin.
    • (1992) Lecture Notes in Statist , vol.74 , pp. 142-164
    • Green, P.J.1    Han, X.-L.2
  • 31
    • 77956890234 scopus 로고
    • Monte Carlo sampling methods using Markov chains and their applications
    • HASTINGS, W. K. (1970). Monte Carlo sampling methods using Markov chains and their applications. Biometrika 57 97-109.
    • (1970) Biometrika , vol.57 , pp. 97-109
    • Hastings, W.K.1
  • 32
    • 0021179007 scopus 로고
    • An analytical evaluation of alternative strategies in steady-state simulation
    • KELTON, D. W. and LAW, A. M. (1984). An analytical evaluation of alternative strategies in steady-state simulation. Oper. Res. 32 169-184.
    • (1984) Oper. Res , vol.32 , pp. 169-184
    • Kelton, D.W.1    Law, A.M.2
  • 33
    • 34250130646 scopus 로고
    • Central limit theorem for additive functionals of reverisble Markov processes and applications to simple exclusions
    • KIPNIS, C. and VARADHAN, S. R. S. (1986). Central limit theorem for additive functionals of reverisble Markov processes and applications to simple exclusions. Comm. Math. Phys. 104 1-19.
    • (1986) Comm. Math. Phys , vol.104 , pp. 1-19
    • Kipnis, C.1    Varadhan, S.R.S.2
  • 39
    • 51249183003 scopus 로고
    • Estimation of interaction potentials of spatial point patterns through the maximum likelihood procedure
    • OGATA, Y. and TANEMURA, M. (1981). Estimation of interaction potentials of spatial point patterns through the maximum likelihood procedure. Ann. Inst. Statist. Math. 33 315-338.
    • (1981) Ann. Inst. Statist. Math , vol.33 , pp. 315-338
    • Ogata, Y.1    Tanemura, M.2
  • 40
    • 0000333882 scopus 로고
    • Likelihood analysis of spatial point patterns
    • OGATA, Y. and TANEMURA, M. (1984). Likelihood analysis of spatial point patterns. J. Roy. Statist. Soc. Ser. B 46 496-518.
    • (1984) J. Roy. Statist. Soc. Ser. B , vol.46 , pp. 496-518
    • Ogata, Y.1    Tanemura, M.2
  • 41
    • 0000897279 scopus 로고
    • Likelihood estimation of soft-core interaction potentials for Gibbsian point patterns
    • OGATA, Y. and TANEMURA, M. (1989). Likelihood estimation of soft-core interaction potentials for Gibbsian point patterns. Ann. Inst. Statist. Math. 41 583-600.
    • (1989) Ann. Inst. Statist. Math , vol.41 , pp. 583-600
    • Ogata, Y.1    Tanemura, M.2
  • 42
    • 0002230946 scopus 로고
    • Modelling interaction in spatial point patterns: Parameter estimation by the maximum likelihood method
    • PENTTINEN, A. (1984). Modelling interaction in spatial point patterns: Parameter estimation by the maximum likelihood method. Jyvaskyla Studies in Computer Science, Economics, and Statistics 7.
    • (1984) Jyvaskyla Studies in Computer Science, Economics, and Statistics , pp. 7
    • Penttinen, A.1
  • 44
    • 0000759236 scopus 로고
    • How many iterations in the Gibbs sampler?
    • (J. Bernardo, J. O. Berger, A. P. Dawid and A. F. M. Smith, eds.), Oxford Univ. Press
    • RAFTERY, A. E. and LEWIS, S. (1992). How many iterations in the Gibbs sampler? In Bayesian Statistics 4 (J. Bernardo, J. O. Berger, A. P. Dawid and A. F. M. Smith, eds.) 763-773. Oxford Univ. Press.
    • (1992) Bayesian Statistics 4 , pp. 763-773
    • Raftery, A.E.1    Lewis, S.2
  • 50
    • 0020132583 scopus 로고
    • Batch size effects in the analysis of simulation output
    • SCHMEISER, B. (1982). Batch size effects in the analysis of simulation output. Oper. Res. 30 556-568.
    • (1982) Oper. Res , vol.30 , pp. 556-568
    • Schmeiser, B.1
  • 51
    • 84972543451 scopus 로고
    • On the irreducibility of a Markov chain defined on a space of genotype configurations by a sampling scheme
    • To appear
    • SHEEHAN, N. and THOMAS, A. (1992). On the irreducibility of a Markov chain defined on a space of genotype configurations by a sampling scheme. Biometrics. To appear.
    • (1992) Biometrics
    • Sheehan, N.1    Thomas, A.2
  • 52
    • 0020846587 scopus 로고
    • Confidence interval estimation using standardized time series
    • SHRUBEN, L. (1983). Confidence interval estimation using standardized time series. Oper. Res. 31 1090-1108.
    • (1983) Oper. Res , vol.31 , pp. 1090-1108
    • Shruben, L.1
  • 53
    • 0003053548 scopus 로고
    • Bayesian computation via the Gibbs sampler and related Markov chain Monte Carlo methods (with discussion)
    • To appear
    • SMITH, A. F. M. and ROBERTS, G. O. (1993). Bayesian computation via the Gibbs sampler and related Markov chain Monte Carlo methods (with discussion). J. Roy. Statist. Soc. Ser. B. To appear.
    • (1993) J. Roy. Statist. Soc. Ser. B
    • Smith, A.F.M.1    Roberts, G.O.2
  • 54
    • 33747349191 scopus 로고
    • Nonuniversal critical dynamics in Monte Carlo simulations
    • SWENDSEN, R. H. and WANG, J. S. (1987). Nonuniversal critical dynamics in Monte Carlo simulations. Phys. Rev. Lett. 58 86-88.
    • (1987) Phys. Rev. Lett , vol.58 , pp. 86-88
    • Swendsen, R.H.1    Wang, J.S.2
  • 55
    • 84950758368 scopus 로고
    • The calculation of posterior distributions by data augmentation (with discussion)
    • TANNER, M. A. and WONG, W. H. (1987). The calculation of posterior distributions by data augmentation (with discussion). J. Amer. Statist. Assoc. 82 528-550.
    • (1987) J. Amer. Statist. Assoc , vol.82 , pp. 528-550
    • Tanner, M.A.1    Wong, W.H.2
  • 56
    • 77957180409 scopus 로고
    • Evaluation of likelihood ratios for complex genetic models
    • THOMPSON, E. A. and Guo, S. W. (1991). Evaluation of likelihood ratios for complex genetic models. IMA J. Math. Appl. Med. Biol. 8 149-169.
    • (1991) IMA J. Math. Appl. Med. Biol , vol.8 , pp. 149-169
    • Thompson, E.A.1    Guo, S.W.2
  • 58
    • 0000266609 scopus 로고
    • Persistent random walks in random environment
    • TÓTH, B. (1986). Persistent random walks in random environment. Probab. Theory Related Fields 71 615-625.
    • (1986) Probab. Theory Related Fields , vol.71 , pp. 615-625
    • Tóth, B.1
  • 59
    • 5544284492 scopus 로고
    • Cluster Monte Carlo algorithms
    • WANG, J. S. and SWENDSEN, R. H. (1990). Cluster Monte Carlo algorithms. Phys. A 167 565-579.
    • (1990) Phys. A , vol.167 , pp. 565-579
    • Wang, J.S.1    Swendsen, R.H.2
  • 60
    • 0000242257 scopus 로고
    • Calculating the content and the boundary of the highest posterior density region via data augmentation
    • WEI, G. C. G. and TANNER, M. A. (1990). Calculating the content and the boundary of the highest posterior density region via data augmentation. Biometrika 77 649-652.
    • (1990) Biometrika , vol.77 , pp. 649-652
    • Wei, G.C.G.1    Tanner, M.A.2
  • 61
    • 0000490897 scopus 로고
    • Estimation and annealing for Gibbsian fields
    • YOUNES, L. (1988). Estimation and annealing for Gibbsian fields. Ann. Inst. H. Poincare Probab. Statist. 24 269-294.
    • (1988) Ann. Inst. H. Poincare Probab. Statist , vol.24 , pp. 269-294
    • Younes, L.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.