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AUTHOR

Francisco Louzada

showing 2 related works from this author

Contributed discussion on article by Pratola

2016

The author should be commended for his outstanding contribution to the literature on Bayesian regression tree models. The author introduces three innovative sampling approaches which allow for efficient traversal of the model space. In this response, we add a fourth alternative.

Statistics and Probabilitymodel selectionMarkov Chain Monte Carlo (MCMC)Bayesian regression treeComputer scienceBig dataBayesian regression tree (BRT) modelsComputingMilieux_LEGALASPECTSOFCOMPUTINGbirth–death processMachine learningcomputer.software_genreSequential Monte Carlo methods01 natural sciencespopulation Markov chain Monte Carlo010104 statistics & probabilitysymbols.namesakebig data0502 economics and businessBayesian Regression Trees (BART)0101 mathematics050205 econometrics Bayesian treed regressionMultiple Try Metropolis algorithmsINFERÊNCIA ESTATÍSTICAbusiness.industryApplied MathematicsModel selection05 social sciencesRejection samplingData scienceVariable-order Bayesian networkTree (data structure)Tree traversalMarkov chain Monte Carlocontinuous time Markov processsymbolsArtificial intelligencebusinessBayesian linear regressioncommunication-freecomputerGibbs samplingBayesian Analysis
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Adaptive Population Importance Samplers: A General Perspective

2016

Importance sampling (IS) is a well-known Monte Carlo method, widely used to approximate a distribution of interest using a random measure composed of a set of weighted samples generated from another proposal density. Since the performance of the algorithm depends on the mismatch between the target and the proposal densities, a set of proposals is often iteratively adapted in order to reduce the variance of the resulting estimator. In this paper, we review several well-known adaptive population importance samplers, providing a unified common framework and classifying them according to the nature of their estimation and adaptive procedures. Furthermore, we interpret the underlying motivation …

Computer scienceMatemáticasMonte Carlo methodPopulation02 engineering and technologyMachine learningcomputer.software_genre01 natural sciences010104 statistics & probability[INFO.INFO-TS]Computer Science [cs]/Signal and Image Processing0202 electrical engineering electronic engineering information engineering0101 mathematicseducationComputingMilieux_MISCELLANEOUSeducation.field_of_studybusiness.industryEstimator020206 networking & telecommunicationsStatistical classificationRandom measureMonte Carlo integrationData miningArtificial intelligencebusinessParticle filtercomputer[SPI.SIGNAL]Engineering Sciences [physics]/Signal and Image processingImportance sampling
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