The Short-Cut Metropolis Method

arXivmath/0508060MaRDI QIDQ6475862FDOQ6475862

Publication date: 2 August 2005

Abstract: I show how one can modify the random-walk Metropolis MCMC method in such a way that a sequence of modified Metropolis updates takes little computation time when the rejection rate is outside a desired interval. This allows one to effectively adapt the scale of the Metropolis proposal distribution, by performing several such "short-cut" Metropolis sequences with varying proposal stepsizes. Unlike other adaptive Metropolis schemes, this method converges to the correct distribution in the same fashion as the standard Metropolis method.

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