Optimal scaling for random walk Metropolis on spherically constrained target densities

DOI10.1007/S11009-007-9046-2zbMATH Open1141.60316OpenAlexW2153793762MaRDI QIDQ931379FDOQ931379

Authors: Peter Neal, Gareth O. Roberts 

Publication date: 25 June 2008

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: http://eprints.maths.manchester.ac.uk/676/1/hypersphere_191206_submit.pdf

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zbMATH Keywords

Markov chain Monte CarloOptimal scalingRandom walk Metropolis algorithmSpherical distributions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Central limit and other weak theorems (60F05)

Cites Work

• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Title not available (Why is that?)
• Bayesian computation and stochastic systems. With comments and reply.
• Title not available (Why is that?)
• Optimal scaling for various Metropolis-Hastings algorithms.
• Optimal Scaling of Discrete Approximations to Langevin Diffusions
• Markov chains and stochastic stability
• Title not available (Why is that?)
• 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 (22)

• Objective Bayesian analysis for the differential entropy of the Weibull distribution
• Objective Bayesian analysis for \(\log\)-logistic distribution
• Properties of k -record posteriors for the Weibull model
• Optimal volume-corrected Laplace-Metropolis method
• Sampling constrained probability distributions using spherical augmentation
• Counterexamples for optimal scaling of Metropolis-Hastings chains with rough target densities
• Information-geometric Markov chain Monte Carlo methods using diffusions
• Optimal scaling of random walk Metropolis algorithms with discontinuous target densities
• Optimal scaling of random-walk Metropolis algorithms on general target distributions
• Sampling constrained continuous probability distributions: a review
• Optimal scaling of the random walk Metropolis on elliptically symmetric unimodal targets
• Bayesian analysis of Birnbaum-Saunders distribution via the generalized ratio-of-uniforms method
• Complexity bounds for Markov chain Monte Carlo algorithms via diffusion limits
• Optimal scaling of random walk Metropolis algorithms with non-Gaussian proposals
• Optimal scaling of the random walk Metropolis: general criteria for the 0.234 acceptance rule
• Objective Bayesian analysis for the Weibull distribution with partial information under the generalized type-II progressive hybrid censoring scheme
• Population Monte Carlo algorithm in high dimensions
• Objective Bayesian analysis of the Fréchet stress-strength model
• Objective Bayesian analysis of accelerated degradation models based on Wiener process with correlation
• Reference analysis for Birnbaum-Saunders distribution
• Optimal scaling of the random walk Metropolis algorithm under L^p mean differentiability
• Estimation based on hybrid censored data from the power Lindley distribution

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