Explaining Adaptive Radial-Based Direction Sampling

Luc Bauwens, Charles Bos, Herman van Dijk and Rutger van Oest

No EI 2003-37, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: In this short paper we summarize the computational steps of Adaptive Radial-Based Direction Sampling (ARDS), which can be used for Bayesian analysis of ill behaved target densities. We consider one simulation experiment in order to illustrate the good performance of ARDS relative to the independence chain MH algorithm and importance sampling.

Keywords: Markov Chain Monte Carlo; importance sampling; radial coordinates (search for similar items in EconPapers)
Date: 2003-08-07
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