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Resampling from the past to improve on MCMC algorithms


  • Yves Atchade

    () (Department of Mathematics and Statistics, University of Ottawa and LRSP)


We introduce the idea that resampling from past observations in a Markov Chain Monte Carlo sampler can fasten convergence. We prove that proper resampling from the past does not disturb the limit distribution of the algorithm. We illustrate the method with two examples. The first on a Bayesian analysis of stochastic volatility models and the other on Bayesian phylogeny reconstruction.

Suggested Citation

  • Yves Atchade, 2006. "Resampling from the past to improve on MCMC algorithms," RePAd Working Paper Series LRSP-WP2, Département des sciences administratives, UQO.
  • Handle: RePEc:pqs:wpaper:062006

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    More about this item


    Monte Carlo methods; Resampling; Stochastic volatility models; Bayesian phylogeny reconstruction.;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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