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Last update: T_KPMS (16.05.2012)
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Last update: T_KPMS (19.05.2008)
The course should give insight into the basics of Markov chains with general state space which are necessary for understanding the theoretical properties of MCMC methods. Students should become familiar with commonly used MCMC algorithms and after the course they should be able to apply those algorithms to problems in Bayesian and spatial statistics. |
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Last update: T_KPMS (19.05.2008)
D. Gamerman a H. F. Lopes (2006): Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference, druhé vydání, Chapman & Hall/CRC, Boca Raton.
W. Gilks, S. Richardson a D. Spiegelhalter (1996): Markov Chain Monte Carlo in Practice, Chapman & Hall, London.
S. P. Meyn a R. L. Tweedie (1993): Markov Chains and Stochastic Stability, Springer-Verlag, New York.
C. P. Robert (2001): The Bayesian Choice: From Decision-Theoretic Foundations to Computational Implementation, druhé vydání, Springer, New York. |
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Last update: G_M (27.05.2008)
Lecture+exercises. |
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Last update: T_KPMS (19.05.2008)
1. Examples of simulation methods. 2. Bayesian statistics, hierarchial models. 3. Examples of MCMC algorithms, Gibbs sampler, Metropolis-Hastings algorithm. 4. Markov chains with general state space. 5. Ergodicity of MCMC algorithms. 6. Simulated annealing, perfect simulation. 7. Point processes, birth-death Metropolis-Hastings algorithm. 8. Further applications. |