Towards optimal scaling of Metropolis-coupled Markov chain Monte Carlo

DOI10.1007/s11222-010-9192-1zbMath1223.65001MaRDI QIDQ637987

Gareth O. Roberts, Jeffrey S. Rosenthal, Yves F. Atchadé

Publication date: 8 September 2011

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-010-9192-1

zbMATH Keywords

Monte Carlo algorithm; Markov chain; random walk; Metropolis-Hastings algorithm; optimal scaling; simulated tempering

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

65C05: Monte Carlo methods

60G50: Sums of independent random variables; random walks

65C40: Numerical analysis or methods applied to Markov chains

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