Dear Subscribers,
a new paper of the IHS Working Paper Series is online:
Papp, Tamás K. :
A flexible distribution family for testing MCMC implementations
https://irihs.ihs.ac.at/id/eprint/7280/
We propose a flexible, extensible family of distributions for testing Markov Chain Monte Carlo implementations. Distributions are created by nesting simple transformations, which allow various shapes, including multiple modes and fat tails. The resulting distributions can be sampled with high precision using quasi-random sequences, and have closed form (log) density and gradient at each point, making it possible to test gradient-based samplers without automatic differentiation.
Visit the IHS Working Paper Series Archive to access all published IHS Working Papers.
Kind regards
Institut für Höhere Studien - Institute for Advanced Studies (IHS)
Josefstädterstr. 39, 1080 Vienna, Austria
Tel: +43 1 599 91 - 236
Fax: +43 1 599 91 - 505
Email: library@ihs.ac.at
Web: https://www.ihs.ac.at/publications-hub/
