On an adaptive version of the Metropolis–Hastings algorithm with independent proposal distribution

DOI10.1111/1467-9469.00324MaRDI QIDQ4455943zbMATH OpenOpenAlexFDO

Authors Jørund Gåsemur

Publication date 16 March 2004

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10852/10400

zbMATH Keywords

convergencealgorithmMarkov chain Monte-Carlo methodadaptive independent chainMetropololis-Hastings algorithm

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• A comparison of two sequential Metropolis-Hastings algorithms with standard simulation techniques in Bayesian inference in reliability models involving a generalized gamma distribution
• Exact sampling with coupled Markov chains and applications to statistical mechanics

Cited in

(22)

• Adaptive Metropolis-Hastings sampling using reversible dependent mixture proposals
• Pseudo-perfect and adaptive variants of the Metropolis–Hastings algorithm with an independent candidate density
• Tuning of Markov chain Monte Carlo algorithms using copulas
• A multiple-try Metropolis-Hastings algorithm with tailored proposals
• Improving Convergence of the Hastings–Metropolis Algorithm with an Adaptive Proposal
• Parallel hierarchical sampling: a general-purpose interacting Markov chains Monte Carlo algorithm
• Componentwise adaptation for high dimensional MCMC
• Accelerating adaptation in the adaptive Metropolis–Hastings random walk algorithm
• Metropolis-Hastings from a stochastic population dynamics perspective
• On the ergodicity properties of some adaptive MCMC algorithms
• scientific article; zbMATH DE number 2189791 (Why is no real title available?)
• On adaptive Metropolis-Hastings methods
• Adaptively scaling the Metropolis algorithm using expected squared jumped distance
• Accelerating MCMC via Kriging-based adaptive independent proposals and delayed rejection
• Note on the Sampling Distribution for the Metropolis-Hastings Algorithm
• Bayesian analysis of the logit model and comparison of two Metropolis-Hastings strategies.
• Adaptive independent Metropolis-Hastings
• Plateau proposal distributions for adaptive component-wise multiple-try metropolis
• An Adaptive Independence Sampler MCMC Algorithm for Bayesian Inferences of Functions
• Adaptive Incremental Mixture Markov Chain Monte Carlo
• An application of adaptive independent chain Metropolis-Hastings algorithms in Bayesian hazard rate estimation
• An adaptive backward coupling Metropolis algorithm for truncated distributions

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