Pseudo-perfect and adaptive variants of the Metropolis–Hastings algorithm with an independent candidate density

DOI10.1080/00949650410001729463MaRDI QIDQ5460693zbMATH OpenOpenAlexFDO

Authors

Publication date 18 July 2005

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650410001729463

zbMATH Keywords

backward couplingcoupling from the pastexact samplinginvariant measureMetropolis-Hastings algorithmnumerical examplesperfect sampling

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Continuous-time Markov processes on discrete state spaces (60J27) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• Characterization results and Markov chain Monte Carlo algorithms including exact simulation for some spatial point processes
• Exact Sampling from a Continuous State Space
• Exact sampling with coupled Markov chains and applications to statistical mechanics
• Langevin-type models II: Self-targeting candidates for MCMC algorithms
• Markov chains for exploring posterior distributions. (With discussion)
• Monte Carlo sampling methods using Markov chains and their applications
• Perfect sampling from independent Metropolis-Hastings chains
• Perfect simulation and backward coupling^∗
• Perfect Simulation of Conditionally Specified Models
• Rates of convergence of the Hastings and Metropolis algorithms
• Simulating the Invariant Measures of Markov Chains Using Backward Coupling at Regeneration Times

Cited in

(5)

• Adaptive independent Metropolis-Hastings
• Perfect sampling from independent Metropolis-Hastings chains
• An adaptive backward coupling Metropolis algorithm for truncated distributions
• On an adaptive version of the Metropolis–Hastings algorithm with independent proposal distribution
• Double Happiness: Enhancing the Coupled Gains of L-lag Coupling via Control Variates

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