Weak convergence and optimal tuning of the reversible jump algorithm

DOI10.1016/J.MATCOM.2018.06.007MaRDI QIDQ1997557zbMATH OpenOpenAlexWikidataFDO

Authors Philippe Gagnon, M. Bédard, Alain Desgagné

Publication date 2 March 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.05653

zbMATH Keywords

Markov chain Monte Carlo methodsMetropolis-Hastings algorithmsmodel selectionoptimal scalingrandom walk metropolis algorithms

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Statistics (62-XX)

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Cites work

• A note on Metropolis-Hastings kernels for general state spaces
• Diffusion limits of the random walk Metropolis algorithm in high dimensions
• Diffusion-type models with given marginal distribution and autocorrelation function
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• Equation of state calculations by fast computing machines
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• Improving the acceptance rate of reversible jump MCMC proposals
• 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
• Optimum Monte-Carlo sampling using Markov chains
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Scaling analysis of multiple-try MCMC methods
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions

Cited in

(3)

• A quasi-Bayesian perspective to online clustering
• Nonreversible Jump Algorithms for Bayesian Nested Model Selection
• An automatic robust Bayesian approach to principal component regression

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