Antithetic acceleration of Monte Carlo integration in Bayesian inference

Geweke, J

Antithetic acceleration of Monte Carlo integration in Bayesian inference

Geweke, J

Permalink

Publication Type:: Journal Article
Citation:: Journal of Econometrics, 1988, 38 (1-2), pp. 73 - 89
Issue Date:: 1988-01-01

Closed Access

	Filename	Description	Size
	2008008349OK.pdf		946.48 kB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Geweke, J	en_US
dc.date.issued	1988-01-01	en_US
dc.identifier.citation	Journal of Econometrics, 1988, 38 (1-2), pp. 73 - 89	en_US
dc.identifier.issn	0304-4076	en_US
dc.identifier.uri	http://hdl.handle.net/10453/13961
dc.description.abstract	It is proposed to sample antithetically rather than randomly from the posterior density in Bayesian inference using Monte Carlo integration. Conditions are established under which the number of replications required with antithetic sampling relative to the number required with random sampling is inversely proportional to sample size, as sample size increases. The result is illustrated in an experiment using a bivariate vector autoregression. © 1988.	en_US
dc.relation.ispartof	Journal of Econometrics	en_US
dc.relation.isbasedon	10.1016/0304-4076(88)90027-9	en_US
dc.subject.classification	Econometrics	en_US
dc.title	Antithetic acceleration of Monte Carlo integration in Bayesian inference	en_US
dc.type	Journal Article
utslib.citation.volume	1-2	en_US
utslib.citation.volume	38	en_US
utslib.for	140302 Econometric and Statistical Methods	en_US
utslib.for	0104 Statistics	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1403 Econometrics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	closed_access
pubs.issue	1-2	en_US
pubs.publication-status	Published	en_US
pubs.volume	38	en_US

Abstract:

It is proposed to sample antithetically rather than randomly from the posterior density in Bayesian inference using Monte Carlo integration. Conditions are established under which the number of replications required with antithetic sampling relative to the number required with random sampling is inversely proportional to sample size, as sample size increases. The result is illustrated in an experiment using a bivariate vector autoregression. © 1988.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/13961