Bayesian inference for generalized extreme value distributions via Hamiltonian Monte Carlo.
Marcelo HartmannRicardo S. EhlersPublished in: Commun. Stat. Simul. Comput. (2017)
Keyphrases
- monte carlo
- bayesian inference
- extreme values
- particle filter
- probabilistic model
- prior information
- monte carlo methods
- hyperparameters
- monte carlo simulation
- variational inference
- importance sampling
- bayesian model
- markovian decision
- probability distribution
- markov chain
- hierarchical bayesian
- monte carlo tree search
- hidden variables
- confidence intervals
- adaptive sampling
- random variables
- particle filtering
- expectation propagation
- matrix inversion
- markov chain monte carlo
- variance reduction
- statistical inference
- temporal difference
- exponential family
- point processes
- machine learning