Category: Gibbs sampler

A precursor of ABC-Gibbs

Following our arXival of ABC-Gibbs, Dennis Prangle pointed out to us a 2016 paper by Athanasios Kousathanas, Christoph Leuenberger, Jonas Helfer, Mathieu Quinodoz, Matthieu Foll, and Daniel Wegmann, Likelihood-Free Inference in High-Dimensional Model, published in Genetics, Vol. 203, 893–904 in June 2016. This paper contains a version of ABC Gibbs where parameters are sequentially simulated […]

ABC with Gibbs steps

With Grégoire Clarté, Robin Ryder and Julien Stoehr, all from Paris-Dauphine, we have just arXived a paper on the specifics of ABC-Gibbs, which is a version of ABC where the generic ABC accept-reject step is replaced by a sequence of n conditional ABC accept-reject steps, each aiming at an ABC version of a conditional distribution […]

Roberto Casarin’s talk at CREST tomorrow

My former student and friend Roberto Casarin (University Ca’Foscari, Venice) will talk tomorrow at the CREST Financial Econometrics seminar on “Bayesian Markov Switching Tensor Regression for Time-varying Networks” Time: 10:30 Date: 14 March 2019 Place: Room 3001, ENSAE, Université Paris-Saclay Abstract : We propose a new Bayesian Markov switching regression model for multi-dimensional arrays (tensors) […]