Recent Developments in Software for MCMC - Round Table Session
TODESCHINI, Adrien
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
See more >
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
TODESCHINI, Adrien
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
LEGRAND, Pierrick
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
< Reduce
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Language
en
Communication dans un congrès
This item was published in
Fifth IMS-ISBA joint meeting MCMSki IV, 2014-01-06, Chamonix Mont-Blanc.
English Abstract
The main factor in the success of Markov Chain Monte Carlo Methods is that they can be implemented with little efforts in a large variety of settings. Many softwares have been developped such as BUGS and JAGS, that helped ...Read more >
The main factor in the success of Markov Chain Monte Carlo Methods is that they can be implemented with little efforts in a large variety of settings. Many softwares have been developped such as BUGS and JAGS, that helped to popularize Bayesian methods. These softwares allow the user to define his statistical model in a so-called BUGS language, then runs MCMC algorithms as a black box.Although sequential Monte Carlo methods have become a very popular class of numerical methods over the last 20 years, there is no such “black box software” for this class of methods. The BiiPS software, which stands for Bayesian Inference with Interacting Particle Systems, aims at bridging this gap. From a graphical model defined in BUGS language, it automatically implements sequential Monte Carlo algorithms and provides summaries of the posterior distributions. In this poster, we will highlight some of the features of the BiiPS software and an illustration of its application to a stochastic volatility model.Read less <
English Keywords
Statistical software
BUGS
Particle Filtering
Bayesian Graphical Models
Sequential Monte Carlo
Origin
Hal imported