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Weak convergence and optimal scaling of random walk Metropolis algorithms

✍ Scribed by Roberts, G. O.; Gelman, A.; Gilks, W. R.

Book ID
124077407
Publisher
Institute of Mathematical Statistics
Year
1997
Tongue
English
Weight
198 KB
Volume
7
Category
Article
ISSN
1050-5164

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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