Scalable MCMC for Large Data Problems using Data Subsampling and the Difference Estimator

10 Jul 2015 Matias Quiroz Mattias Villani Robert Kohn

We propose a generic Markov Chain Monte Carlo (MCMC) algorithm to speed up computations for datasets with many observations. A key feature of our approach is the use of the highly efficient difference estimator from the survey sampling literature to estimate the log-likelihood accurately using only a small fraction of the data... (read more)

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