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Nonparametric Convergence Assessment for MCMC Model Selection

This article considers the problem of assessing the performance of MCMC model selection algorithms using a variety of nonparametric techniques. We consider a wide range of model selection problems to which MCMC model selection may be applied and propose several distance measures that can be used... Full description

1st Person: Brooks, S. P.
Additional Persons: Giudici, P.; Philippe, A.
Source: in Journal of Computational and Graphical Statistics Vol. 12, No. 1 (2003), p. 1-22
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Type of Publication: Article
Language: English
Published: 2003
Keywords: Autoregressive time series
Birth-death processes
Chi-squared
Graphical models
Kolmogorov-Smirnov
Mixture models
Reversible jump MCMC
Variable selection
Online: Volltext
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