Optimal scaling of random walk Metropolis algorithms with non-Gaussian proposals

DOI10.1007/S11009-010-9176-9zbMATH Open1237.60060OpenAlexW2094770100MaRDI QIDQ655925FDOQ655925

Authors: Peter Neal, Gareth O. Roberts 

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

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zbMATH Keywords

MCMCoptimal scalingheavy-tailed distributionsMarkov Chain Monte CarloCauchy distribution spherical distributionsRandom Walk MetropolisRWM

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Discrete-time Markov processes on general state spaces (60J05)

Cites Work

• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Optimal scaling for various Metropolis-Hastings algorithms.
• Title not available (Why is that?)
• Optimal scaling for random walk Metropolis on spherically constrained target densities
• From Metropolis to diffusions: Gibbs states and optimal scaling.
• Weak convergence of Metropolis algorithms for non-I.I.D. target distributions
• Optimal scaling for partially updating MCMC algorithms

Cited In (10)

• Optimal scaling of random walk Metropolis algorithms with discontinuous target densities
• Optimal scaling of random-walk Metropolis algorithms on general target distributions
• Optimal scaling of MCMC beyond Metropolis
• Optimal scaling for random walk Metropolis on spherically constrained target densities
• Conditional sequential Monte Carlo in high dimensions
• Optimal scaling for the transient phase of Metropolis Hastings algorithms: the longtime behavior
• Complexity bounds for Markov chain Monte Carlo algorithms via diffusion limits
• Random walk Metropolis algorithm in high dimension with non-Gaussian target distributions
• Optimal scaling of the random walk Metropolis algorithm under L^p mean differentiability
• Optimal scaling for the transient phase of the random walk Metropolis algorithm: the mean-field limit

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