Automatic Markov Chain Monte Carlo Procedures for Sampling from Multivariate Distributions

Automatic Markov Chain Monte Carlo Procedures for Sampling from Multivariate Distributions

Generating samples from multivariate distributions efficiently is an important task in Monte Carlo integration and many other stochastic simulation problems. Markov chain Monte Carlo has been shown to be very efficient compared to "conventional methods", especially when many dimensions are...

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Bibliographic Details
Main Authors: Karawatzki, Roman, Leydold, Josef, Pötzelberger, Klaus
Format: Others
Language:en
Published: Department of Statistics and Mathematics, WU Vienna University of Economics and Business 2005
Subjects:
hit-and-run sampling / Markov chain Monte Carlo / multivariate random variate generation / ratio-of-uniforms method / log-concave distributions
Online Access:http://epub.wu.ac.at/1400/1/document.pdf

Internet

http://epub.wu.ac.at/1400/1/document.pdf

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