On the empirical efficiency of local MCMC algorithms with pools of proposals

DOI10.1002/CJS.11196MaRDI QIDQ2870715zbMATH OpenOpenAlexFDO

Authors Matei Mireuta, M. Bédard

Publication date 21 January 2014

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cjs.11196

zbMATH Keywords

Bayesian logistic regressionscomputational costcorrelated proposalsdelayed rejection strategylinear regressionMarkov chain Monte Carlo methodsMetropolis algorithmmultiple-try algorithmnumerical examplesregression

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) General nonlinear regression (62J02) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• A new strategy for speeding Markov chain Monte Carlo algorithms
• Adaptively scaling the Metropolis algorithm using expected squared jumped distance
• An adaptive Metropolis algorithm
• Applied Asymptotics
• Delayed rejection in reversible jump Metropolis-Hastings.
• Diffusion limits of the random walk Metropolis algorithm in high dimensions
• scientific article; zbMATH DE number 3990579 (Why is no real title available?)
• Interacting multiple try algorithms with different proposal distributions
• Monte Carlo sampling methods using Markov chains and their applications
• On Bayesian model and variable selection using MCMC
• On Metropolis-Hastings algorithms with delayed rejection
• Optimal scaling for various Metropolis-Hastings algorithms.
• Optimal scaling of Metropolis algorithms: Heading toward general target distributions
• Ordering and improving the performance of Monte Carlo Markov chains.
• Scaling analysis of delayed rejection MCMC methods
• Scaling analysis of multiple-try MCMC methods
• The Multiple-Try Method and Local Optimization in Metropolis Sampling
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(3)

• Equation-solving estimator based on the general n-step MHDR algorithm
• Conditional sequential Monte Carlo in high dimensions
• Scaling analysis of multiple-try MCMC methods

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