Martin, Burda; Maheu John M. - In: Studies in Nonlinear Dynamics & Econometrics 17 (2013) 4, pp. 345-372
Hamiltonian Monte Carlo (HMC) is a recent statistical procedure to sample from complex distributions. Distant proposal draws are taken in a sequence of steps following the Hamiltonian dynamics of the underlying parameter space, often yielding superior mixing properties of the resulting Markov...