Componentwise adaptation for high dimensional MCMC

DOI10.1007/BF02789703zbMath1091.65009WikidataQ59866673 ScholiaQ59866673MaRDI QIDQ2488398

Eero Saksman, Heikki Haario, Johanna Tamminen

Publication date: 24 May 2006

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

Full work available at URL: https://doi.org/10.1007/bf02789703

zbMATH Keywords

numerical examples; principal components; multivariate distribution; Markov chain Monte Carlo (MCMC) method; random vectors generating; single component adaptive Metropolis sampling algorithm

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62H25: Factor analysis and principal components; correspondence analysis

62D05: Sampling theory, sample surveys

65C05: Monte Carlo methods

65C40: Numerical analysis or methods applied to Markov chains

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Cites Work