Weak convergence of Metropolis algorithms for non-I.I.D. target distributions

DOI10.1214/105051607000000096zbMath1144.60016arXiv0710.3684OpenAlexW3100216688MaRDI QIDQ2467602

Mylène Bédard

Publication date: 28 January 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0710.3684

zbMATH Keywords

diffusionweak convergenceMarkov chain Monte CarloMetropolis algorithmoptimal scaling

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Numerical analysis or methods applied to Markov chains (65C40)

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Cites Work

• General state space Markov chains and MCMC algorithms
• Optimal scaling for partially updating MCMC algorithms
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• Bayesian computation and stochastic systems. With comments and reply.
• From Metropolis to diffusions: Gibbs states and optimal scaling.
• Optimal scaling of MaLa for nonlinear regression.
• Optimal acceptance rates for Metropolis algorithms: Moving beyond 0.234
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Monte Carlo sampling methods using Markov chains and their applications
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