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Posterior inference for sparse hierarchical non-stationary models

This repository contains supplementary material for the article: "Posterior inference for sparse hierarchical non-stationary models"

Includes the 3 MCMC sampler used in the simulations:

  • MWG: adaptive Metropolis-within-Gibbs scheme
  • Marginal: marginal sampler with elliptical slice sampling (ELL-SS) for a re-parametrised length-scale process
  • Whitened: elliptical slice sampling (ELL-SS) combined with re-parametrisations for decoupling the prior, hyperprior, and hyperparameters

Code Authors

Karla Monterrubio-Gómez