Adaptive proposal distribution for random walk Metropolis algorithm

DOI10.1007/S001800050022zbMATH Open0941.62036DBLPjournals/cstat/HaarioST99OpenAlexW3124691892WikidataQ59866703 ScholiaQ59866703MaRDI QIDQ132585FDOQ132585

Authors: Heikki Haario, Eero Saksman, Johanna Tamminen, Heikki Haario, Eero Saksman, Johanna Tamminen 

Publication date: September 1999

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001800050022

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zbMATH Keywords

convergenceMarkov chain Monte Carlo (MCMC)Metropolis-Hastings algorithmadaptive MCMC

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Parametric inference (62F99) Applications of statistics to environmental and related topics (62P12)

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Cited In (78)

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• Adaptive Incremental Mixture Markov Chain Monte Carlo
• A central limit theorem for adaptive and interacting Markov chains
• Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
• On an adaptive version of the Metropolis–Hastings algorithm with independent proposal distribution
• On the flexibility of the design of multiple try Metropolis schemes
• Estimating fibres' material parameter distributions from limited data with the help of Bayesian inference
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• On the stability of some controlled Markov chains and its applications to stochastic approximation with Markovian dynamic
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• An approach to periodic, time-varying parameter estimation using nonlinear filtering
• Oscillation of metropolis-Hastings and simulated annealing algorithms around LASSO estimator
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• Estimating structural credit risk models when market prices are contaminated with noise
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• Modeling host-seeking behavior of African malaria vector mosquitoes in the presence of long-lasting insecticidal nets
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• bayescopulareg
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• Componentwise adaptation for high dimensional MCMC
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• A method for estimating dominant acoustic backscatter mechanism of water-seabed interface via relative entropy estimation
• Bayesian inversion for electrical-impedance tomography in medical imaging using the nonlinear Poisson-Boltzmann equation
• Diffusion approximations and control variates for MCMC
• Maximum likelihood estimation of Gaussian copula models for geostatistical count data
• Parametrization of Random Vectors in Polynomial Chaos Expansions via Optimal Transportation
• Deterministic sampling based on Kullback-Leibler divergence and its applications
• Bayesian estimation and uncertainty quantification in models of urea hydrolysis byE. colibiofilms
• Gradient-based adaptive importance samplers
• Title not available (Why is that?)
• Intercorrelated random fields with bounds and the Bayesian identification of their parameters: Application to linear elastic struts and fibers
• Modeling and Forecasting Macroeconomic Downside Risk
• Random sampling from joint probability distributions defined in a Bayesian framework
• Most likely optimal subsampled Markov chain Monte Carlo
• Statistical Modeling of the Effectiveness of Preventive Maintenance for Repairable Systems
• Modeling material stress using integrated Gaussian Markov random fields
• Deterministic Sampling of Expensive Posteriors Using Minimum Energy Designs
• Markov chain Monte Carlo methods applied to the stochastic inversion of 1D viscoelastic parameters
• A two-stage adaptive Metropolis algorithm
• Accelerating adaptation in the adaptive Metropolis–Hastings random walk algorithm
• A point mass proposal method for Bayesian state-space model fitting
• Accelerating MCMC algorithms
• Random Forest Adjustment for Approximate Bayesian Computation

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