Analysis of high-dimensional Continuous Time Markov Chains using the Local Bouncy Particle Sampler

30 May 2019Tingting ZhaoAlexandre Bouchard-Côté

Sampling the parameters of high-dimensional Continuous Time Markov Chains (CTMC) is a challenging problem with important applications in many fields of applied statistics. In this work a recently proposed type of non-reversible rejection-free Markov Chain Monte Carlo (MCMC) sampler, the Bouncy Particle Sampler (BPS), is brought to bear to this problem... (read more)

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