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Turning Simulation into Estimation: Generalized Exchange Algorithms for Exponential Family Models

Datum:
1 juni 2017
Auteur:
Auteur: Marsman M., Maris G., Bechger T., & Glas C.
Opdrachtgever:
Cito

The Single Variable Exchange algorithm is based on a simple idea; any model that can be simulated can be estimated by producing draws from the posterior distribution. We build on this simple idea by framing the Exchange algorithm as a mixture of Metropolis transition kernels and propose strategies that automatically select the more efficient transition kernels.

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