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Optimal scaling of random walk Metropolis algorithms with discontinuous target densities

✍ Scribed by Neal, Peter; Roberts, Gareth; Yuen, Wai Kong

Book ID: 127200918
Publisher: Institute of Mathematical Statistics
Year: 2012
Tongue: English
Weight: 431 KB
Volume: 22
Category: Article
ISSN: 1050-5164
DOI: 10.1214/11-aap817

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## 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