Related papers: Markov Chain Monte Carlo Methods for Estimating Sy…

To sample from a given target distribution, Markov chain Monte Carlo (MCMC) sampling relies on constructing an ergodic Markov chain with the target distribution as its invariant measure. For any MCMC method, an important question is how to…

In many hierarchical inverse problems, not only do we want to estimate high- or infinite-dimensional model parameters in the parameter-to-observable maps, but we also have to estimate hyperparameters that represent critical assumptions in…

Bayesian modelling and computational inference by Markov chain Monte Carlo (MCMC) is a principled framework for large-scale uncertainty quantification, though is limited in practice by computational cost when implemented in the simplest…

Adaptive and interacting Markov chain Monte Carlo algorithms (MCMC) have been recently introduced in the literature. These novel simulation algorithms are designed to increase the simulation efficiency to sample complex distributions.…

We consider quantile estimation using Markov chain Monte Carlo and establish conditions under which the sampling distribution of the Monte Carlo error is approximately Normal. Further, we investigate techniques to estimate the associated…

Reaction networks are often used to model interacting species in fields such as biochemistry and ecology. When the counts of the species are sufficiently large, the dynamics of their concentrations are typically modeled via a system of…

Accurate and efficient estimation of rare events probabilities is of significant importance, since often the occurrences of such events have widespread impacts. The focus in this work is on precisely quantifying these probabilities, often…

Markov chain Monte Carlo (MCMC) methods are simulated by local exploration of complex statistical distributions, and while bypassing the cumbersome requirement of a specific analytical expression for the target, this stochastic exploration…

Markov Chain Monte Carlo (MCMC) techniques are now widely used for cosmological parameter estimation. Chains are generated to sample the posterior probability distribution obtained following the Bayesian approach. An important issue is how…

We present an original simulation-based method to estimate likelihood ratios efficiently for general state-space models. Our method relies on a novel use of the conditional Sequential Monte Carlo (cSMC) algorithm introduced in…

Markov chain Monte Carlo (MCMC) has transformed Bayesian model inference over the past three decades: mainly because of this, Bayesian inference is now a workhorse of applied scientists. Under general conditions, MCMC sampling converges…

Multicanonical MCMC (Multicanonical Markov Chain Monte Carlo; Multicanonical Monte Carlo) is discussed as a method of rare event sampling. Starting from a review of the generic framework of importance sampling, multicanonical MCMC is…

Evaluating the degree of partisan districting (Gerrymandering) in a statistical framework typically requires an ensemble of districting plans which are drawn from a prescribed probability distribution that adheres to a realistic and…

Bayesian analysis often concerns an evaluation of models with different dimensionality as is necessary in, for example, model selection or mixture models. To facilitate this evaluation, transdimensional Markov chain Monte Carlo (MCMC)…

In this paper we consider the parameter estimation problem associated to partially-observed time changed SDEs, with observations that are given at discrete times. In particular we consider both likelihood and Bayesian estimation. We develop…

This paper introduces a Bayesian framework that combines Markov chain Monte Carlo (MCMC) sampling, dimensionality reduction, and neural density estimation to efficiently handle inverse problems that (i) must be solved multiple times, and…

We present an iterative Markov chainMonte Carlo algorithm for computingreference priors and minimax risk forgeneral parametric families. Ourapproach uses MCMC techniques based onthe Blahut-Arimoto algorithm forcomputing channel capacity…

Continuous-time Markov chains (CTMCs) are popular modeling formalism that constitutes the underlying semantics for real-time probabilistic systems such as queuing networks, stochastic process algebras, and calculi for systems biology. Prism…

Markov Chain Monte Carlo (MCMC) methods are algorithms for sampling probability distributions, commonly applied to the Boltzmann distribution in physical and chemical models such as protein folding and the Ising model. These methods enable…

High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The…