Abstract #300331

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JSM 2003 Abstract #300331
Activity Number: 405
Type: Topic Contributed
Date/Time: Wednesday, August 6, 2003 : 2:00 PM to 3:50 PM
Sponsor: Section on Bayesian Stat. Sciences
Abstract - #300331
Title: Radial-Based Adaptive Direction Sampling
Author(s): Herman Koene van Dijk*+ and Lennart Hoogerheide
Companies: Erasmus University Rotterdam and Erasmus University Rotterdam
Address: PO Box 1738, NL-3000 Rotterdam, , , Netherlands
Keywords: Metropolis-Hastings ; radial-basis function ; importance sampling
Abstract:

Using a simple transformation on directions and distances and, subsequently, applying a Metropolis-Hastings or an Importance Sampling step on the direction, a radial-based direction sampling method is constructed where (weighted) pseudorandom drawings are generated from a general class of posterior densities. The proposed class of Monte Carlo methods is very flexible and can be easily built into a Gibbs sampling technique. Experiments with classic models show the ease of implementation and flexibility of the proposed algorithm.

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