most citedThe pseudo-marginal approach for efficient Monte Carlo computations

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math.ST2009★ 720 cited

The pseudo-marginal approach for efficient Monte Carlo computations

Christophe Andrieu, Gareth O. Roberts

We introduce a powerful and flexible MCMC algorithm for stochastic simulation. The method builds on a pseudo-marginal method originally introduced in [Genetics 164 (2003) 1139--116…