Diffusive Limits for Adaptive MCMC for Normal Target densities

Authors Gopal K. Basak, Arunangshu Biswas

Publication date 17 January 2013

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: In this paper we apply the Diffusion approximation procedure to a discrete time Adaptive Markov Chain Monte Carlo (AMCMC) method when the target distribution is standard Normal. We show that the limiting distribution of the diffusion admits a density which we identify as the standard Normal distribution.

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