Plateau proposal distributions for adaptive component-wise multiple-try metropolis

DOI10.1007/S40300-022-00235-YMaRDI QIDQ2098289zbMATH OpenOpenAlexFDO

Authors F. Din-Houn Lau, Sebastian Krumscheid

Publication date 17 November 2022

Published in Metron (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1909.05201

zbMATH Keywords

adaptive Markov chain Monte Carlocomponent-wise Metropolis-Hastingsmultiple-try metropolisplateau proposal distribution

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• Adaptive Component-Wise Multiple-Try Metropolis Sampling
• Adaptive proposal distribution for random walk Metropolis algorithm
• An adaptive Metropolis algorithm
• Component-wise Markov chain Monte Carlo: uniform and geometric ergodicity under mixing and composition
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• Equation of state calculations by fast computing machines
• Exponential convergence of Langevin distributions and their discrete approximations
• Handbook of Markov Chain Monte Carlo
• Interacting multiple try algorithms with different proposal distributions
• Issues in the multiple try Metropolis mixing
• MCMC using Hamiltonian dynamics
• Monte Carlo sampling methods using Markov chains and their applications
• On the flexibility of the design of multiple try Metropolis schemes
• Optimal proposal distributions and adaptive MCMC
• Optimal scaling for various Metropolis-Hastings algorithms.
• Sequential Imputations and Bayesian Missing Data Problems
• Stochastic simulation: Algorithms and analysis
• The Multiple-Try Method and Local Optimization in Metropolis Sampling

Cited in

(2)

• Adaptive Component-Wise Multiple-Try Metropolis Sampling
• A Bayesian approach for modeling heavy tailed insurance claim data based on the contaminated lognormal distribution

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