Date
2011
Dewey
Probabilités et mathématiques appliquées
Sujet
importance sampling; SMC; ABC; MCMC; Markov chains; bootstrap; maximum likelihood; Bayesian statistics; posterior distributions; Bayes factor; Monte Carlo; adaptivity; model choice
JEL code
C15; C11
Conference name
Winter Simulation Conference
Conference date
12-2011
Conference city
Phoenix
Conference country
Etats-Unis
Book title
Winter Simulation Conference, WSC 2011. Proceedings : 11-14 December 2011, Phoenix, Arizona
Author
Jain, S.; IEEE
Publisher
IEEE
Publisher city
New-York
Year
2011
ISBN
978-1-4577-2109-0
Author
Robert, Christian P.
Type
Communication / Conférence
Item number of pages
12108-119
Abstract (EN)
Simulation has become a standard tool in statistics because it may be the only tool available for analysing some classes of probabilistic models. We review in this paper simulation tools that have been specifically derived to address statistical challenges and, in particular, recent advances in the areas of adaptive Markov chain Monte Carlo (MCMC) algorithms, and approximate Bayesian calculation (ABC) algorithms.
