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Stochastic Approximation in Monte Carlo Computation


  • Liang, Faming
  • Liu, Chuanhai
  • Carroll, Raymond J.


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Suggested Citation

  • Liang, Faming & Liu, Chuanhai & Carroll, Raymond J., 2007. "Stochastic Approximation in Monte Carlo Computation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 305-320, March.
  • Handle: RePEc:bes:jnlasa:v:102:y:2007:p:305-320

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    Cited by:

    1. Adrian E. Raftery & Le Bao, 2010. "Estimating and Projecting Trends in HIV/AIDS Generalized Epidemics Using Incremental Mixture Importance Sampling," Biometrics, The International Biometric Society, vol. 66(4), pages 1162-1173, December.
    2. Jaehee Kim & Sooyoung Cheon, 2010. "A Bayesian regime-switching time-series model," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 365-378, September.
    3. Zhang, Shibin, 2016. "Adaptive spectral estimation for nonstationary multivariate time series," Computational Statistics & Data Analysis, Elsevier, vol. 103(C), pages 330-349.
    4. Jaehee Kim & Sooyoung Cheon, 2010. "Bayesian multiple change-point estimation with annealing stochastic approximation Monte Carlo," Computational Statistics, Springer, vol. 25(2), pages 215-239, June.
    5. Chih-Sheng Hsieh & Michael D. K├Ânig & Xiaodong Liu, 2012. "Network formation with local complements and global substitutes: the case of R&D networks," ECON - Working Papers 217, Department of Economics - University of Zurich, revised Feb 2017.
    6. Wang, Liqun & Lee, Chel Hee, 2014. "Discretization-based direct random sample generation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 1001-1010.
    7. Anindya Bhadra & Bani K. Mallick, 2013. "Joint High-Dimensional Bayesian Variable and Covariance Selection with an Application to eQTL Analysis," Biometrics, The International Biometric Society, vol. 69(2), pages 447-457, June.
    8. Liang, Faming, 2009. "On the use of stochastic approximation Monte Carlo for Monte Carlo integration," Statistics & Probability Letters, Elsevier, vol. 79(5), pages 581-587, March.
    9. Cheon, Sooyoung & Kim, Jaehee, 2010. "Multiple change-point detection of multivariate mean vectors with the Bayesian approach," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 406-415, February.
    10. Yukito Iba & Nen Saito & Akimasa Kitajima, 2014. "Multicanonical MCMC for sampling rare events: an illustrative review," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(3), pages 611-645, June.
    11. Jin, Ick Hoon & Liang, Faming, 2014. "Use of SAMC for Bayesian analysis of statistical models with intractable normalizing constants," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 402-416.
    12. Liang, Faming & Zhang, Jian, 2009. "Learning Bayesian networks for discrete data," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 865-876, February.

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