Optimal scaling of random walk Metropolis algorithms with non-Gaussian proposals
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Publication:655925
DOI10.1007/s11009-010-9176-9zbMath1237.60060MaRDI QIDQ655925
Publication date: 26 January 2012
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-010-9176-9
heavy-tailed distributions; Markov Chain Monte Carlo; MCMC; optimal scaling; Cauchy distribution spherical distributions; Random Walk Metropolis; RWM
60J22: Computational methods in Markov chains
65C05: Monte Carlo methods
60J05: Discrete-time Markov processes on general state spaces
65C40: Numerical analysis or methods applied to Markov chains
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