浅议马尔可夫链蒙特卡罗在实践中的应用
摘要
本文概括地介绍了马尔可夫链蒙特卡罗(Markov chain Monte Carlo——MCMC),一种随机模拟贝叶斯推断的方法。主要的抽样方法包括吉布斯采样(Gibbs Sampling)和Metropolis-Hastings算法。本文也对MCMC主题和应用的拓展进行了讨论。
参考文献9
-
1Metropolis W,Ulam S.The monte carlo method[].Journal of the American Statistical Association.1949
-
2Gilks WR,Richardson S,Spiegelhalter DJ.Markov Chain Monte Carlo in Practice[]..1996
-
3Gamerman,D.Markov Chain Monte Carlo[]..1997
-
4Propp J G,Wilson D B.Exact Sampling with Coupled Markov Chains and Applications to Statistical Mechanics[]..1996
-
5Radu V.Craiu,Xiao-Li Meng.Perfection within reach:exact MCMC sampling--Handbook of Markov Chain Monte Carlo[]..2011
-
6Steve Brooks,Andrew Gelman,Galin Jones,Xiao-Li Meng.Handbooks of Modern Statistical Methods[]..2011
-
7Faming Liang,Chuanhai Liu,Raymond J.Carroll.Advanced Markov Chain Monte Carlo Method-Learning from past samples[]..1970
-
8Mark Jerrum,Alistair Sinclair.The Markov chain Monte Carlo Method:An approach to approximate counting and integra-tion[OL]. http://www.c3.lanl.gov/-percus/Research/RIPS/mcmc.pdf .
-
9N.Metropolis.The beginning of the Monte Carlo Method[].Los Alamos Science.1987
-
1邱崇洋,刘继春,陈永娟.带ARMA(1,1)条件异方差相关的随机波动模型的MCMC算法[J].数学研究,2006,39(4):414-421. 被引量：2
-
2徐正国,周东华.基于马尔可夫链蒙特卡罗的实时可靠性预测方法研究[J].机械强度,2007,29(5):765-768. 被引量：12
-
3张加兴.地震作用下结构动力可靠度时域显式子集模拟方法[J].铁道勘测与设计,2014,0(1):51-58.
-
4林静,韩玉启,朱慧明.基于MCMC稳态模拟的Weibull共享异质性模型及其可靠性应用[J].中国工程科学,2006,8(2):55-60. 被引量：3
-
5朱慧明,曾惠芳,曹英.基于MCMC模拟的贝叶斯AR-GJR-GARCH模型及其应用[J].统计与决策,2008,24(2):22-24.
-
6GARCIA Virgile,CHEN Chung Shue,ZHOU YiQing,SHI JingLin.Gibbs sampling based distributed OFDMA resource allocation[J].Science China(Information Sciences),2014,57(4):14-25. 被引量：2
-
7沈启霞,杨帆.三元Logit模型回归参数的M-H算法[J].齐齐哈尔大学学报（自然科学版）,2016,32(3):69-72.
-
8程迪,张世斌.动态异方差随机前沿模型的Bayesian推断[J].高校应用数学学报（A辑）,2016,31(2):127-135. 被引量：3
-
9张文专,唐年胜,王学仁.非线性再生散度随机效应模型的极大似然估计及随机逼近算法[J].生物数学学报,2006,21(2):270-278. 被引量：5
-
10方丽婷.单指数模型的Bayes分析[J].北华大学学报（自然科学版）,2010,11(2):169-176.
