Scaling Limits for the Transient Phase of Local Metropolis–Hastings Algorithms

DOI10.1111/J.1467-9868.2005.00500.XzbMath1075.65012OpenAlexW2153811005MaRDI QIDQ5313588

Jeffrey S. Rosenthal, Gareth O. Roberts, Ole F. Christensen

Publication date: 1 September 2005

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9868.2005.00500.x

zbMATH Keywords

samplingweak convergencenumerical examplesMetropolis-Hastings algorithmMarkov chain Monte Carlo methodsLangevin algorithmtransient phaserandom-walk Metropolis algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cites Work

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• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Log Gaussian Cox Processes
• Optimal metropolis algorithms for product measures on the vertices of a hypercube

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