Componentwise adaptation for high dimensional MCMC (Q2488398)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Componentwise adaptation for high dimensional MCMC |
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Componentwise adaptation for high dimensional MCMC (English)
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24 May 2006
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A single component adaptive Metropolis (SCAM) sampling algorithm is described in which the variance of (Gaussian) proposal one-dimensional distribution varies at each step depending on the variancies of previously generated sample. The target components of the SCAM suffer from the poor mixing distribution when the target is highly correlated. So it is recommended to rotate the proposal distribution to the (estimated) principal components of the target distribution. Simulation examples with Gaussian targets in various dimensions up to 1000 are considered.
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principal components
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multivariate distribution
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random vectors generating
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Markov chain Monte Carlo (MCMC) method
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numerical examples
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single component adaptive Metropolis sampling algorithm
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