36 citations · 37 across the 2 of their papers we have counts for
2 papers
stat.ML2023★ 1 cited
Differentiating Metropolis-Hastings to Optimize Intractable Densities
Gaurav Arya, Ruben Seyer, Frank Schäfer +7
We develop an algorithm for automatic differentiation of Metropolis-Hastings samplers, allowing us to differentiate through probabilistic inference, even if the model has discrete…
stat.CO2012★ 36 cited
Reversible jump MCMC for nonparametric drift estimation for diffusion processes
Frank van der Meulen, Moritz Schauer, Harry van Zanten
In the context of nonparametric Bayesian estimation a Markov chain Monte Carlo algorithm is devised and implemented to sample from the posterior distribution of the drift function…