Interweaving Markov Chain Monte Carlo Strategies for Efficient Estimation of Dynamic Linear Models

Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models

(2013) Gregor Kastner et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

To Center or Not to Center: That Is Not the Question—An Ancillarity–Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Efficiency

(2011) Yaming Yu et al.   JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS

Simulation smoothing for state–space models: A computational efficiency analysis

(2010) William J. McCausland et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Stochastic model specification search for Gaussian and partial non-Gaussian state space models

(2009) Sylvia Frühwirth-Schnatter et al.   JOURNAL OF ECONOMETRICS

Stability of the Gibbs sampler for Bayesian hierarchical models

(2008) Omiros Papaspiliopoulos et al.   ANNALS OF STATISTICS

A theoretical comparison of the data augmentation, marginal augmentation and PX-DA algorithms

(2008) James P. Hobert et al.   ANNALS OF STATISTICS

Parameterisation and efficient MCMC estimation of non-Gaussian state space models

(2007) Chris M. Strickland et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS