コバヤシ　ゲンヤ   KOBAYASHI GENYA   小林　弦矢    所属   明治大学  商学部    職種   専任教授
言語種別	英語
発行・発表の年月	2015/03
形態種別	学術雑誌
査読	査読あり
標題	Generalized multiple-point Metropolis algorithms for approximate Bayesian computation
執筆形態	共著(筆頭者)
掲載誌名	JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
掲載区分	国外
出版社・発行元	TAYLOR & FRANCIS LTD
巻・号・頁	85(4),pp.675-692
著者・共著者	Genya Kobayashi, Hideo Kozumi
概要	It is well known that the approximate Bayesian computation algorithm based on Markov chain Monte Carlo methods suffers from the sensitivity to the choice of starting values, inefficiency and a low acceptance rate. To overcome these problems, this study proposes a generalization of the multiple-point Metropolis algorithm, which proceeds by generating multiple-dependent proposals and then by selecting a candidate among the set of proposals on the basis of weights that can be chosen arbitrarily. The performance of the proposed algorithm is illustrated by using both simulated and real data.
DOI	10.1080/00949655.2013.836652
ISSN	0094-9655