[下载]Lecture Notes Markov Chain Monte Carlo for Statistical Inference.pdf

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[下载]Lecture Notes Markov Chain Monte Carlo for Statistical Inference.pdf
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[下载]Lecture Notes Markov Chain Monte Carlo for Statistical Inference.pdf
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关键词：Statistical Monte Carlo statistica statistic Inference Monte notes Lecture Inference Chain

ThesenotesprovideanintroductiontoMarkovchainMonteCarlomethods
thatareusefulinbothBayesianandfrequentiststatisticalinference.Such
methodshaverevolutionizedwhatcanbeachievedcomputationally,primarily
butnotonlyintheBayesianparadigm.Theaccountbeginsbydescribingordi-
naryMonteCarlomethods,which,inprinciple,haveexactlythesamegoalsas
theMarkovchainversionsbutcanrarelybeimplemented.Subsequentsections
describebasicMarkovchainMonteCarlo,foundedontheHastingsalgorithm
andincludingboththeMetropolismethodandtheGibbssamplerasspecial
cases,andgoontodiscussmorerecentdevelopments.TheseincludeMarkov
chainMonteCarlo p–values,theLangevin–Hastingsalgorithm,auxiliaryvari-
ablestechniques,perfectMarkovchainMonteCarloviacouplingfromthe
past,andreversiblejumpsmethodsfortargetspacesofvaryingdimensions.
Specimenapplications,drawnfromseveraldi?erentdisciplines,aredescribed
throughoutthenotes.Severaloftheseappearforthefirsttime.Allcompu-
tationsuseAPLastheprogramminglanguage,thoughthisisnotnecessarily
a recommendation! The author welcomes comments and criticisms.

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