Adaptively scaling the Metropolis algorithm using expected squared jumped distance

zbMATH Open1186.62038MaRDI QIDQ3405572FDOQ3405572

Authors: Cristian Pasarica, Andrew Gelman 

Publication date: 10 February 2010

Full work available at URL: http://www3.stat.sinica.edu.tw/statistica/J20N1/J20N113/J20N113.html

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zbMATH Keywords

Bayesian computationMarkov chain Monte Carloacceptance ratesmultiple importance samplingiterative simulation

Mathematics Subject Classification ID

Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Cited In (21)

• Optimal tuning of the hybrid Monte Carlo algorithm
• Adaptive Metropolis-Hastings sampling using reversible dependent mixture proposals
• Efficiency of delayed-acceptance random walk metropolis algorithms
• Asymptotic analysis of the random walk metropolis algorithm on ridged densities
• Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter
• Designing simple and efficient Markov chain Monte Carlo proposal kernels
• An extended sparse max-linear moving model with application to high-frequency financial data
• Estimation of realized stochastic volatility models using Hamiltonian Monte Carlo-based methods
• Automatically adapting the number of state particles in \(\text{SMC}^2\)
• Optimal scaling of random-walk Metropolis algorithms on general target distributions
• Adaptive tuning of Hamiltonian Monte Carlo within sequential Monte Carlo
• On the efficiency of pseudo-marginal random walk Metropolis algorithms
• A Bayesian hierarchical model for spatial extremes with multiple durations
• Maximum Conditional Entropy Hamiltonian Monte Carlo Sampler
• Accelerating sequential Monte Carlo with surrogate likelihoods
• Adaptive random neighbourhood informed Markov chain Monte Carlo for high-dimensional Bayesian variable selection
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• Emerging directions in Bayesian computation
• An efficient proposal distribution for Metropolis-Hastings using a \(B\)-splines technique
• On the empirical efficiency of local MCMC algorithms with pools of proposals
• Optimal scaling of Metropolis algorithms: Heading toward general target distributions

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