Importance Link Function Estimation for Markov Chain Monte Carlo Methods

@inproceedings{MacEachern2000ImportanceLF,
  title={Importance Link Function Estimation for Markov Chain Monte Carlo Methods},
  author={Steven N. MacEachern and Mario Peruggia},
  year={2000}
}
Abstract This article focuses on improving estimation for Markov chain Monte Carlo simulation. The proposed methodology is based upon the use of importance link functions. With the help of appropriate importance sampling weights, effective estimates of functionals are developed. The method is most easily applied to irreducible Markov chains, where application is typically immediate. An important conceptual point is the applicability of the method to reducible Markov chains through the use of… CONTINUE READING

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