Optimal Scaling of the Random Walk Metropolis: General Criteria for the 0.234 Acceptance Rule

DOI10.1239/jap/1363784420zbMath1266.60062WikidataQ61434489 ScholiaQ61434489MaRDI QIDQ4918557

Chris Sherlock

Publication date: 25 April 2013

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

Full work available at URL: https://projecteuclid.org/euclid.jap/1363784420

zbMATH Keywords

optimal scaling; random walk Metropolis; optimal acceptance rate

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

60F17: Functional limit theorems; invariance principles

Related Items

Information-geometric Markov chain Monte Carlo methods using diffusions, A class of spherical and elliptical distributions with Gaussian-like limit properties, Efficiency of delayed-acceptance random walk metropolis algorithms, On the efficiency of pseudo-marginal random walk Metropolis algorithms

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