Monte Carlo Method. Monte Carlo integration, Bootstrapping (statistics), Monte Carlo methods for option pricing, Quasi-Monte Carlo method, Monte Carlo methods in finance, Quasi-Monte Carlo methods in finance, Kinetic Monte Carlo, Quantum Monte Carlo, Markov chain Monte Carlo, Monte Carlo method in statistical physics, Molecular dynamics
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Pseudo-marginal Markov Chain Monte Carlo for Nonnegative Matrix Factorization
A pseudo-marginal Markov chain Monte Carlo (PMCMC) method is proposed for nonnegative matrix factorization (NMF). The sampler jointly simulates the joint posterior distribution for the nonnegative matrices and the matrix dimensions which indicate the ...
Pseudo-marginal Hamiltonian Monte Carlo
Bayesian inference in the presence of an intractable likelihood function is computationally challenging. When following a Markov chain Monte Carlo (MCMC) approach to approximate the posterior distribution in this context, one typically either uses MCMC ...
Analyzing Markov chain Monte Carlo output
AbstractMarkov chain Monte Carlo (MCMC) is a sampling‐based method for estimating features of probability distributions. MCMC methods produce a serially correlated, yet representative, sample from the desired distribution. As such it can be difficult to ...
Visual representation of the multivariate correlation structure in a Markov chain. Output analysis that accounts for this multivariate structure is able to more accurately summarize variability in the simulation process. We review the output analysis ...