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Improving the Asymptotic Performance of Markov Chain Monte-Carlo by Inserting Vortices
Inserting Vortices Markov Chain Monte-Carlo Asymptotic Performance
2012/11/23
We present a new way of converting a reversible finite Markov chain into a non-reversible one, with a theoretical guarantee that the asymptotic variance of the MCMC estimator based on the non-reversib...
MMCTest - A Safe Algorithm for Implementing Multiple Monte Carlo Tests
Bootstrap/resampling Computationally Intensive Methods Multiple Comparisons False Discovery Rate Sequential Algorithm
2012/11/22
We are interested in testing multiple hypotheses using tests that can only be evaluated by simulation such as permutation tests or bootstrap tests. This article introduces a sequential algorithm which...
Discussion of "Riemann manifold Langevin and Hamiltonian Monte Carlo methods'' by M. Girolami and B. Calderhead
Riemann manifold Langevin Hamiltonian Monte Carlo methods
2010/11/8
This technical report is the union of two contributions to the discussion of the Read Paper Riemann manifold Langevin and Hamiltonian Monte Carlo methods (Calderhead and Girolami, 2010), presented in ...