Mixing of MCMC algorithms

DOI10.1080/00949655.2019.1615064MaRDI QIDQ5107455zbMATH OpenOpenAlexWikidataFDO

Authors Lars Holden

Publication date 27 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2019.1615064

zbMATH Keywords

acceptance rates in Metropolis-Hastings algorithmMCMCmixingoptimal step lengthrecurrencevariance estimates

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Adaptive optimal scaling of Metropolis-Hastings algorithms using the Robbins-Monro process
• Batch means and spectral variance estimators in Markov chain Monte Carlo
• Corrigendum to ``Bounds on regeneration times and convergence rates for Markov chains
• Geometric bounds for eigenvalues of Markov chains
• Geometric convergence of the Metropolis-Hastings simulation algorithm
• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
• Markov chains and stochastic stability
• Optimal proposal distributions and adaptive MCMC
• Optimal scaling for partially updating MCMC algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Regeneration in Markov Chain Samplers
• Spectral bounds for certain two-factor non-reversible MCMC algorithms
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(5)

• Merging MCMC subposteriors through Gaussian-process approximations
• Analysis of an age-structured tuberculosis model with treatment and relapse
• Issues in the multiple try Metropolis mixing
• Testing of mixing models for Monte Carlo probability density function simulations
• Approximate Gibbs sampler for efficient inference of hierarchical Bayesian models for grouped count data

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