On the efficiency of pseudo-marginal random walk Metropolis algorithms

DOI10.1214/14-AOS1278zbMath1326.65015arXiv1309.7209OpenAlexW2003456014WikidataQ61434481 ScholiaQ61434481MaRDI QIDQ2338926

Jeffrey S. Rosenthal, Gareth O. Roberts, Chris Sherlock, Alexandre H. Thiery

Publication date: 27 March 2015

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.7209

zbMATH Keywords

Markov chain Monte Carlo methodefficiencyoptimal scalingdiffusion limitpseudo-marginal random walk Metropolis-Hastings algorithmtarget density

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40)

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