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Optimal scaling for various Metropolis-Hastings algorithms

✍ Scribed by Roberts, Gareth O.; Rosenthal, Jeffrey S.


Book ID
124148424
Publisher
Institute of Mathematical Statistics
Year
2001
Tongue
English
Weight
254 KB
Volume
16
Category
Article
ISSN
0883-4237

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📜 SIMILAR VOLUMES


V-Subgeometric ergodicity for a Hastings
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We study the symmetric random-walk Hastings-Metropolis algorithm in situations where the density is not log-concave in the tails. We show that, under mild technical conditions this algorithm is V-ergodic at a subgeometrical rate.

Optimal scaling of Metropolis algorithms
✍ Mylène Bédard; Jeffrey S. Rosenthal 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 French ⚖ 279 KB

## Abstract The authors provide an overview of optimal scaling results for the Metropolis algorithm with Gaussian proposal distribution. They address in more depth the case of high‐dimensional target distributions formed of independent, but not identically distributed components. They attempt to gi