Imperial College London
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Professor Axel Gandy

Faculty of Natural Sciences, Department of Mathematics

Head of Department of Mathematics & Chair in Statistics
 
 
 
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Contact

 

+44 (0)20 7594 8518a.gandy Website

 
 
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Location

 

644Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Lau:2014:10.1016/j.csda.2014.06.010,
author = {Lau, FD-H and Gandy, A},
doi = {10.1016/j.csda.2014.06.010},
journal = {Computational Statistics & Data Analysis},
pages = {99--110},
title = {RMCMC: A system for updating Bayesian models},
url = {http://dx.doi.org/10.1016/j.csda.2014.06.010},
volume = {80},
year = {2014}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - A system to update estimates from a sequence of probability distributions is presented. The aim of the system is to quickly produce estimates with a user-specified bound on the Monte Carlo error. The estimates are based upon weighted samples stored in a database. The stored samples are maintained such that the accuracy of the estimates and quality of the samples are satisfactory. This maintenance involves varying the number of samples in the database and updating their weights. New samples are generated, when required, by a Markov chain Monte Carlo algorithm. The system is demonstrated using a football league model that is used to predict the end of season table. The correctness of the estimates and their accuracy are shown in a simulation using a linear Gaussian model.
AU  - Lau,FD-H
AU  - Gandy,A
DO  - 10.1016/j.csda.2014.06.010
EP  - 110
PY  - 2014///
SN  - 0167-9473
SP  - 99
TI  - RMCMC: A system for updating Bayesian models
T2  - Computational Statistics & Data Analysis
UR  - http://dx.doi.org/10.1016/j.csda.2014.06.010
UR  - http://hdl.handle.net/10044/1/40259
VL  - 80
ER  -
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