Hierarchical models and tuning of random walk Metropolis algorithms

DOI10.1155/2019/8740426MaRDI QIDQ2272872zbMATH OpenOpenAlexFDO

Authors M. Bédard

Publication date 17 September 2019

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2019/8740426

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

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Cites work

• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• An adaptive Metropolis algorithm
• Diffusion limits of the random walk Metropolis algorithm in high dimensions
• Equation of state calculations by fast computing machines
• Hierarchical models: local proposal variances for RWM-within-Gibbs and MALA-within-Gibbs
• Langevin diffusions and the Metropolis-adjusted Langevin algorithm
• Monte Carlo sampling methods using Markov chains and their applications
• Optimal acceptance rates for Metropolis algorithms: Moving beyond 0.234
• Optimal scaling for partially updating MCMC algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• Optimal scalings for local Metropolis-Hastings chains on nonproduct targets in high dimensions
• Optimal tuning of the hybrid Monte Carlo algorithm
• Riemann manifold Langevin and Hamiltonian Monte Carlo methods. With discussion and authors' reply
• Scaling analysis of multiple-try MCMC methods
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions

Cited in

(8)

• scientific article; zbMATH DE number 2051000 (Why is no real title available?)
• Randomized Hamiltonian Monte Carlo as scaling limit of the bouncy particle sampler and dimension-free convergence rates
• Optimal scaling of random-walk Metropolis algorithms on general target distributions
• The random walk Metropolis: linking theory and practice through a case study
• Hierarchical models: local proposal variances for RWM-within-Gibbs and MALA-within-Gibbs
• scientific article; zbMATH DE number 2017344 (Why is no real title available?)
• An automatic robust Bayesian approach to principal component regression
• Optimal scaling of the independence sampler: theory and practice

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