Robust adaptive Metropolis algorithm with coerced acceptance rate

DOI10.1007/s11222-011-9269-5zbMath1252.65024arXiv1011.4381OpenAlexW2163669663WikidataQ109998350 ScholiaQ109998350MaRDI QIDQ116440

Matti Vihola

Publication date: 4 August 2011

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.4381

zbMATH Keywords

robustnessergodicityMetropolis algorithmadaptive Markov chain Monte Carloacceptance rate

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian problems; characterization of Bayes procedures (62C10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Uses Software

• LINPACK
• Grapham
• ramcmc

Cites Work

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• Limit theorems for some adaptive MCMC algorithms with subgeometric kernels
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• On the ergodicity properties of some adaptive MCMC algorithms
• General state space Markov chains and MCMC algorithms
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• Optimal scaling for various Metropolis-Hastings algorithms.
• Geometric ergodicity of Metropolis algorithms
• Grapham: graphical models with adaptive random walk Metropolis algorithms
• MC's for MCMC'ists
• Stability of Stochastic Approximation under Verifiable Conditions
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• Robust Statistics
• An adaptive Metropolis algorithm

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