Piecewise deterministic Markov processes for scalable Monte Carlo on restricted domains

Joris Bierkens, Alexandre Bouchard-Côté, Arnaud Doucet, Andrew B. Duncan, Paul Fearnhead, Thibaut Lienart, Gareth Roberts and Sebastian J. Vollmer

Statistics & Probability Letters, 2018, vol. 136, issue C, 148-154

Abstract: Piecewise Deterministic Monte Carlo algorithms enable simulation from a posterior distribution, whilst only needing to access a sub-sample of data at each iteration. We show how they can be implemented in settings where the parameters live on a restricted domain.

Keywords: MCMC; Bayesian statistics; Piecewise deterministic Markov processes; Logistic regression (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (7)

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DOI: 10.1016/j.spl.2018.02.021

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