Towards optimal scaling of Metropolis-coupled Markov chain Monte Carlo

DOI10.1007/s11222-010-9192-1zbMath1223.65001OpenAlexW2146960149MaRDI QIDQ637987

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

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 algorithmMarkov chainrandom walkMetropolis-Hastings algorithmoptimal scalingsimulated tempering

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Numerical analysis or methods applied to Markov chains (65C40)

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