マルコフ連鎖モンテカルロ法  [in Japanese] Markov Chain Monte Carlo Method  [in Japanese]

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Abstract

Markov Chain Monte Calro (MCMC) methods have been widely used in recent years in many fields. However, the theoretical results are derived for different setups and assumptions, and it is still difficult to choose which convergence theorem to apply, which diagnostic method for the convergence to use, and so forth. This paper will provide a comprehensive survey of the theoretical literature with respect to the convergence, the rate of convergence, and diagnostic methods for the convergence of MCMC, focusing on Gibbs sampler, substitution sampling, Metropolis-Hastings algorithm.

Journal

  • Economic journal of Chiba University

    Economic journal of Chiba University 10(4), 237-287, 1996-03

    Chiba University

Codes

  • NII Article ID (NAID)
    110000465821
  • NII NACSIS-CAT ID (NCID)
    AN10005358
  • Text Lang
    JPN
  • Article Type
    departmental bulletin paper
  • Journal Type
    大学紀要
  • ISSN
    09127216
  • NDL Article ID
    4008138
  • NDL Source Classification
    ZD1(経済--経済・経済事情)
  • NDL Call No.
    Z3-2172
  • Data Source
    NDL  NII-ELS  IR 
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