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Fast MCMC sampling for Markov jump processes and extensions
Markov jump process uniformization MCMC Gibbs sampler Markov-modulated Poisson process continuous-time Bayesian network
2012/9/17
Markov jump processes (or continuous-time Markov chains) are a simple and important class of continuous-time dynamical systems. In this paper, we tackle the problem of simu-lating from the posterior d...
Construction of weakly CUD sequences for MCMC sampling
completely uniformly distributed Gibbs sampler equidistribution probit quasi-Monte Carlo
2009/9/16
In Markov chain Monte Carlo (MCMC) sampling considerable thought goes into constructing random transitions. But those transitions are almost always driven by a simulated IID sequence. Recently it has ...