Optimal scaling of the random walk Metropolis algorithm under Lp mean differentiability

DOI10.1017/jpr.2017.61zbMath1401.65007arXiv1604.06664OpenAlexW2344978419MaRDI QIDQ4684918

Gareth O. Roberts, Sylvain Le Corff, Alain Durmus, Eric Moulines

Publication date: 26 September 2018

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.06664

zbMATH Keywords

Markov chain Monte Carlooptimal scalingrandom walk Metropolis\(L^p\) mean differentiability

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05)

Related Items

Optimal scaling of random walk Metropolis algorithms using Bayesian large-sample asymptotics ⋮ Optimal scaling of random-walk Metropolis algorithms on general target distributions ⋮ Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities ⋮ Optimal scaling of the random walk Metropolis algorithm under L^p mean differentiability

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